EXPECTED NUMBER OF EXCURSIONS ABOVE CURVED BOUNDARY BY A RANDOM-WALK

被引：1

作者：

KLEBANER, FC ^{[1
]}

机构：

[1] UNIV MELBOURNE,DEPT STAT,PARKVILLE,VIC 3052,AUSTRALIA

来源：

BULLETIN OF THE AUSTRALIAN MATHEMATICAL SOCIETY | 1990年 / 41卷 / 02期

关键词：

D O I：

10.1017/S0004972700018013

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

An asymptotic relation for the expected number of excursions above a boundary g(n) by a random walk Sn, n = 1,2, ‥, N is given in terms of an integral involving g. An integral test is given to determine whether the total excursion time has finite expectation. If some moment assumptions hold then the expectation of the total excursions is finite if and only if [formula omitted]. © 1990, Australian Mathematical Society. All rights reserved.

引用

页码：207 / 213

页数：7

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