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Random walks with negative drift conditioned to stay positive
- Source :
- Journal of Applied Probability. 11:742-751
- Publication Year :
- 1974
- Publisher :
- Cambridge University Press (CUP), 1974.
-
Abstract
- Let {Xk : k ≧ 1} be a sequence of independent, identically distributed random variables with EX 1 = μ < 0. Form the random walk {Sn : n ≧ 0} by setting S 0 = 0, Sn = X 1 + … + Xn, n ≧ 1. Let T denote the hitting time of the set (–∞, 0] by the random walk. The principal result in this paper is to show (under appropriate conditions on the distribution of X 1) that Sn , conditioned on T > n converges weakly to a limit random variable, S∗, and to find the Laplace transform of the distribution of S∗. We also investigate a collection of random walks with mean μ < 0 and conditional limits S∗ (μ), and show that S∗ (μ), properly normalized, converges to a gamma distribution of second order as μ ↗ 0. These results have applications to the GI/G/1 queue, collective risk theory, and the gambler's ruin problem.
- Subjects :
- Statistics and Probability
Independent and identically distributed random variables
Discrete mathematics
Laplace transform
General Mathematics
010102 general mathematics
Random walk
01 natural sciences
Combinatorics
010104 statistics & probability
Distribution (mathematics)
Gamma distribution
Limit (mathematics)
0101 mathematics
Statistics, Probability and Uncertainty
Queue
Random variable
Mathematics
Subjects
Details
- ISSN :
- 14756072 and 00219002
- Volume :
- 11
- Database :
- OpenAIRE
- Journal :
- Journal of Applied Probability
- Accession number :
- edsair.doi.dedup.....029509e685dc1727c702c4fbe1d0bb10