A Simple proof of a Known Result in Random Walk Theory
Lemoine, Austin J.
Ann. Probab., Tome 2 (1974) no. 6, p. 347-348 / Harvested from Project Euclid
Let $\{X_n, n \geqq 1\}$ be a stationary independent sequence of real random variables, $S_n = X_1 + \cdots + X_n$, and $\alpha_A$ the hitting time of the set $A$ by the process $\{S_n, n \geqq 1\}$, where $A$ is one of the half-lines $(0, \infty), \lbrack 0, \infty), (-\infty, 0 \rbrack$ or $(-\infty, 0)$. This note provides a simple proof of a known result in random walk theory on necessary and sufficient conditions for $E\{\alpha_A\}$ to be finite. The method requires neither generating functions nor moment conditions on $X_1$.
Publié le : 1974-04-14
Classification:  Random walks,  hitting times,  60J15,  60K25
@article{1176996718,
     author = {Lemoine, Austin J.},
     title = {A Simple proof of a Known Result in Random Walk Theory},
     journal = {Ann. Probab.},
     volume = {2},
     number = {6},
     year = {1974},
     pages = { 347-348},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996718}
}
Lemoine, Austin J. A Simple proof of a Known Result in Random Walk Theory. Ann. Probab., Tome 2 (1974) no. 6, pp.  347-348. http://gdmltest.u-ga.fr/item/1176996718/