{
  "id": "1005.5260",
  "version": "v1",
  "published": "2010-05-28T10:31:45.000Z",
  "updated": "2010-05-28T10:31:45.000Z",
  "title": "Exponential moments of first passage times and related quantities for random walks",
  "authors": [
    "Alexander Iksanov",
    "Matthias Meiners"
  ],
  "journal": "Electron. Commun. Probab. 15 (2010), 365-375",
  "categories": [
    "math.PR"
  ],
  "abstract": "For a zero-delayed random walk on the real line, let $\\tau(x)$, $N(x)$ and $\\rho(x)$ denote the first passage time into the interval $(x,\\infty)$, the number of visits to the interval $(-\\infty,x]$ and the last exit time from $(-\\infty,x]$, respectively. In the present paper, we provide ultimate criteria for the finiteness of exponential moments of these quantities. Moreover, whenever these moments are finite, we derive their asymptotic behaviour, as $x \\to \\infty$.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2010-05-28T10:31:45.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60K05",
      "14F05",
      "60G40"
    ],
    "keywords": [
      "first passage time",
      "exponential moments",
      "related quantities",
      "real line",
      "zero-delayed random walk"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1005.5260I"
    }
  }
}