A further study of an approximation for last-exit and first-passage probabilities of a random walk. (1994)

• Record Type: Journal Article
• Authors: Daley, D. J.; Servi, L. D.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 7:Number 3(1994)
• Page Start: 411
• Page End: 422
• Publication Date: 1994
• Subjects: random walk -- [M/D/1] and D/M/1 queues -- taboo probabilities -- ladder variables -- first-passage times -- last-exit times; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S104895339400033X
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : Identities between first-passage or last-exit probabilities and unrestricted transition probabilities that hold for left- or right-continuous lattice-valued random walks form the basis of an intuitively based approximation that is demonstrated by computation to hold for certain random walks without either the left- or right-continuity properties. The argument centers on the use of ladder variables; the identities are known to hold asymptotically from work of Iglehart leading to Brownian meanders.