Fluctuation Identities Applied to the Hitting Time of a Half-line in the Plane

Yasuki Isozaki ()
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Yasuki Isozaki: Osaka University

Journal of Theoretical Probability, 2009, vol. 22, issue 1, 57-81

Abstract: Abstract We study asymptotic estimates that contain the hitting time and the hitting place of a half-line by a two-dimensional random walk. Fluctuation identities are used without resorting to pair annihilation but by interchanging summation and integration. The same method applies to the hitting of the half-space by a one-dimensional random walk.

Keywords: First hitting times; Fluctuation identities; Random walks; Asymptotic estimates; 60G50 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10959-008-0192-4

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