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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1971 Volume 16, Issue 4, Pages 593–613 (Mi tvp2321)

This article is cited in 69 papers

The distribution of the first ladder moment and height and fluctuations of random walk

B. A. Rogozin

Novosibirsk

Abstract: Let $\xi_1,\xi_2,\dots$ be independent identically destributed random variables, and let $S_0=0$, $S_n=\sum_{i=1}^n\xi_i$, $T=\min\{n\colon S_n>0\}$, $H=S_T$.
In the paper, the distributions of $T$ and $H$ are investigated.

Received: 13.04.1970


 English version:
Theory of Probability and its Applications, 1971, 16:4, 575–595

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