A note on the times of first passage for `nearly right-continuous' random walks

Matija Vidmar (University of Warwick)

Abstract


A natural extension of a right-continuous integer-valued random walk is one which can jump to the right by one or two units. First passage times above a given fixed level then admit - on each of the two events, which correspond to overshoot zero and one, separately - a tractable probability generating function. Some applications are considered.

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Pages: 1-7

Publication Date: November 1, 2014

DOI: 10.1214/ECP.v19-3735

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