The length of an excursion above a linear boundary by a random walk

We consider random walks with steps that are independent and identically distributed with finite mean. The distribution and expected value of the length of an excursion that begins with the first step is investigated.

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Year of publication:	1997
Authors:	Lee, Travis ; Minzner, Max ; Fisher, Evan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 34.1997, 4, p. 397-402
Publisher:	Elsevier
Subject:	Random walks Excursions Boundary crossings

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319190