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Renewal theorems and stability for the reflected process

Doney, R A; Maller, Ross; Savov, Mladen

Description

Renewal-like results and stability theorems relating to the large-time behaviour of a random walk Sn reflected in its maximum, Rn = max0 ≤ j ≤ n Sj - Sn, are proved. Mainly, we consider the behaviour of the exit time, τ (r), where τ (r) = min {n ≥

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
URI: http://hdl.handle.net/1885/32812
Source: Stochastic Processes and their Applications
DOI: 10.1016/j.spa.2008.06.009

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