Abstract:
For a random walk, we prove a continuity theorem for the exit time from a strip containing the abscissa axis, including the case of the exit time from a strip through an a priori chosen boundary. In particular, we compute the ruin probabilities for two classes of centered distributions.
Keywords:random walk, Markov property of the jump distribution, exit time, ruin probability, two-sided generalized geometric distribution, two-sided exponential distribution.