Exit times for a class of random walks exact distribution results

@article{Jacobsen2011ExitTF,
  title={Exit times for a class of random walks exact distribution results},
  author={Martin Jacobsen},
  journal={Journal of Applied Probability},
  year={2011},
  volume={48},
  pages={51 - 63}
}
  • M. Jacobsen
  • Published 1 August 2011
  • Mathematics
  • Journal of Applied Probability
For a random walk with both downward and upward jumps (increments), the joint distribution of the exit time across a given level and the undershoot or overshoot at crossing is determined through its generating function, when assuming that the distribution of the jump in the direction making the exit possible has a Laplace transform which is a rational function. The expected exit time is also determined and the paper concludes with exact distribution results concerning exits from bounded… 
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