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Sibirskii Matematicheskii Zhurnal, 2010, Volume 51, Number 4, Pages 848–870 (Mi smj2130)  
This article is cited in 10 scientific papers (total in 10 papers)

Exact expressions for the moments of ladder heights

S. V. Nagaev

Sobolev Institute of Mathematics, Novosibirsk, Russia
Full-text PDF (355 kB) Citations (10)
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Abstract: With the aid of the formula for the Laplace transform of a contraction of a distribution on the positive semiaxis the formulas for moments of the ascending ladder height are deduced for each of the three cases: the null, positive and negative expectation of a step in the random walk. The results are formulated in terms of the moments and integral functionals of the characteristic function of the step function. Despite the complexity of the proof the final formulas are comparatively simple.
Keywords: ladder height, moment, Laplace transform, Spitzer series, Winer–Hopf identity, Bruno formula.
Received: 16.04.2009
English version:
Siberian Mathematical Journal, 2010, Volume 51, Issue 4, Pages 675–695
DOI: https://doi.org/10.1007/s11202-010-0069-5
Bibliographic databases:
Document Type: Article
UDC: 519.2
Language: Russian
Citation: S. V. Nagaev, “Exact expressions for the moments of ladder heights”, Sibirsk. Mat. Zh., 51:4 (2010), 848–870; Siberian Math. J., 51:4 (2010), 675–695
Citation in format AMSBIB
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    • This publication is cited in the following 10 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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