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Another look at independence of hitting place and time for the simple random walk

Results of Samuels and Wendel for the simple random walk with drift on the integers which assert independence of interarrival times at the sets {a-r, a+r}, r=1, 2..., k and the arrival position in the set {a-k,a+k}, where a is the starting point, are reobtained by treating the walk as a Markov chain, and considering related chains conditional on absorption at a specified barrier.
Year of publication:
1980
Authors: Seneta, E.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 10.1980, 1, p. 101-104
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874722
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