On the existence of moments of ladder heights

A.K. Aleskeviciene

Statistics & Probability Letters, 2008, vol. 78, issue 3, 282-285

Abstract: Let S0, , where Xk, are iid random variables. Denote . Necessary and sufficient conditions are found for the existence of the moments of ladder heights SN- and SN+. These conditions are taken into consideration when calculating the moments of ladder heights in the cases EXk>0 and EXk

Keywords: Random; walk; Ladder; heights; Moments; of; ladder; heights (search for similar items in EconPapers)
Date: 2008
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