Loading…
Autoregressive processes and first-hit probabilities for randomized random walks
We find the first-hit distributions of symmetric randomized random walks on ℝ with exponential lifetime using prediction formulas for Gaussian stationary autoregressive processes, associated with the random walks.
Saved in:
| Published in: | Journal of applied probability 1991-06, Vol.28 (2), p.347-359 |
|---|---|
| Main Author: | |
| Format: | Article |
| Language: | English |
| Citations: | Items that this one cites Items that cite this one |
| Online Access: | Get full text |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | We find the first-hit distributions of symmetric randomized random walks on ℝ with exponential lifetime using prediction formulas for Gaussian stationary autoregressive processes, associated with the random walks. |
|---|---|
| ISSN: | 0021-9002 1475-6072 |
| DOI: | 10.1017/S0021900200039735 |