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Autoregressive processes and first-hit probabilities for randomized random walks
Published online by Cambridge University Press: 14 July 2016
Abstract
We find the first-hit distributions of symmetric randomized random walks on ℝ with exponential lifetime using prediction formulas for Gaussian stationary autoregressive processes, associated with the random walks.
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- Copyright © Applied Probability Trust 1991
Footnotes
This research was supported by ONR Grant No. N00014/89/J/1870.
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