A further study of an approximation for last-exit and first-passage probabilities of a random walk

D. J. Daley and L. D. Servi

International Journal of Stochastic Analysis, 1994, vol. 7, 1-12

Abstract:

Identities between first-passage or last-exit probabilities and unrestricted transition probabilities that hold for left- or right-continuous lattice-valued random walks form the basis of an intuitively based approximation that is demonstrated by computation to hold for certain random walks without either the left- or right-continuity properties. The argument centers on the use of ladder variables; the identities are known to hold asymptotically from work of Iglehart leading to Brownian meanders.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:745235

DOI: 10.1155/S104895339400033X

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