Factorization representations in the boundary crossing problems for random walks on a Markov chain

被引:2
|
作者
Lotov, VI
Orlova, NG
机构
[1] Sobolev Institute of Mathematics, Novosibirsk
基金
俄罗斯基础研究基金会;
关键词
Markov-modulated random walk; factorization representations; boundary crossing problems;
D O I
10.1007/s11202-005-0066-2
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
Let tau be some stopping time for a random walk S-n defined on transitions of a finite Markov chain and let tau(t) be the first passage time across the level t which occurs after tau. We prove a theorem that establishes a connection between the dual Laplace-Stieltjes transforms of the joint distributions of (tau, S-tau) and (tau(t), S-tau(t)). This result applies to the study of the number of crossings of a strip by sample paths of a random walk.
引用
收藏
页码:661 / 667
页数:7
相关论文
共 50 条