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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1972 Volume 17, Issue 2, Pages 342–349 (Mi tvp2589)

This article is cited in 34 papers

Short Communications

The distribution of the first hit for stable and asymptotically stable walks on an interval

B. A. Rogozin

Novosibirsk

Abstract: Let $\{\xi(t);t\ge0\}$ be a strongly stable process, $\tau=\inf\{t\colon\xi(t)\notin[0,1]\}$.
Formulas for $\mathbf P\{1\le\xi(\tau)<1+y\mid\xi(0)=x\}$, and $\mathbf P\{0\ge\xi(\tau)>-y\mid\xi(0)=x\}$, $0\le x\le1$, $y\ge0$, are derived and applied to random walks.

Received: 26.11.1970


 English version:
Theory of Probability and its Applications, 1973, 17:2, 332–338

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