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Autoregressive processes and first-hit probabilities for randomized random walks

Published online by Cambridge University Press:  14 July 2016

Raisa Epstein Feldman
Raisa Epstein Feldman*
Affiliation:
University of California, Santa Barbara
*
∗Postal address: Department of Statistics and Applied Probability, University of California, Santa Barbara, CA 93106, USA.
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Abstract

We find the first-hit distributions of symmetric randomized random walks on ℝ with exponential lifetime using prediction formulas for Gaussian stationary autoregressive processes, associated with the random walks.

Keywords

PREDICTIONSTATIONARY PROCESSES
Type
Research Papers
Information
Journal of Applied Probability , Volume 28 , Issue 2 , June 1991 , pp. 347 - 359
Copyright
Copyright © Applied Probability Trust 1991 

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Footnotes

This research was supported by ONR Grant No. N00014/89/J/1870.

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