A definition of duality for pairs of stopping times of any random walk is motivated by the duality relation of ascending and descending ladder epochs $N, \bar{N}$ of random walk in $R^1$. Dual pairs share several of the properties of the pair $N, \bar{N}$.
Publié le : 1978-08-14
Classification:
Random walk,
stopping times,
Wiener-Hopf factorization,
60G50,
60G40
@article{1176995484,
author = {Greenwood, Priscilla and Shaked, Moshe},
title = {Dual Pairs of Stopping Times for Random Walk},
journal = {Ann. Probab.},
volume = {6},
number = {6},
year = {1978},
pages = { 644-650},
language = {en},
url = {http://dml.mathdoc.fr/item/1176995484}
}
Greenwood, Priscilla; Shaked, Moshe. Dual Pairs of Stopping Times for Random Walk. Ann. Probab., Tome 6 (1978) no. 6, pp. 644-650. http://gdmltest.u-ga.fr/item/1176995484/