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A further study of an approximation for last-exit and first-passage probabilities of a random walk

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  • D. J. Daley
  • L. D. Servi

Abstract

Identities between first-passage or last-exit probabilities and unrestricted transition probabilities that hold for left- or right-continuous lattice-valued random walks form the basis of an intuitively based approximation that is demonstrated by computation to hold for certain random walks without either the left- or right-continuity properties. The argument centers on the use of ladder variables; the identities are known to hold asymptotically from work of Iglehart leading to Brownian meanders.

Suggested Citation

  • D. J. Daley & L. D. Servi, 1994. "A further study of an approximation for last-exit and first-passage probabilities of a random walk," International Journal of Stochastic Analysis, Hindawi, vol. 7, pages 1-12, January.
    • Handle: RePEc:hin:jnijsa:745235
    DOI: 10.1155/S104895339400033X
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