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Exact formulas in some boundary crossing problems for integer-valued random walks Full article

Journal Izvestiya Mathematics
ISSN: 1064-5632
Output data Year: 2023, Volume: 87, Number: 1, Pages: 45-60 Pages count : 16 DOI: 10.4213/im9323e
Tags integer-valued random walk, factorization method, excess over boundary, renewal function, oscillating random walk
Authors Lotov V.I. 1,2
Affiliations
1 Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
2 Novosibirsk State University

Funding (1)

1 Russian Science Foundation 22-21-00396

Abstract: For a wide class of integer-valued random walks, we obtain exact expressions for the distribution of the first excess over level and the corresponding renewal function as well as for the distribution of the trajectory supremum if it is finite. We discuss possibilities of obtaining explicit expressions for pre-stationary and stationary distributions of a random walk with switchings at the strip boundaries. The research is based on the factorization representations for the double moment generating functions of the distributions under study.
Cite: Lotov V.I.
Exact formulas in some boundary crossing problems for integer-valued random walks
Izvestiya Mathematics. 2023. V.87. N1. P.45-60. DOI: 10.4213/im9323e WOS Scopus РИНЦ OpenAlex
Original: Лотов В.И.
О точных формулах в некоторых граничных задачах для целочисленных случайных блужданий
Известия Российской академии наук. Серия математическая. 2023. Т.87. №1. С.49-64. DOI: 10.4213/im9323 РИНЦ OpenAlex
Dates:
Submitted: Feb 16, 2022
Published print: Aug 13, 2023
Published online: Aug 13, 2023
Identifiers:
Web of science: WOS:001054276700003
Scopus: 2-s2.0-85168112587
Elibrary: 63509161
OpenAlex: W4385776919
Citing:
DB Citing
OpenAlex 1
Scopus 1
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