Jump to ContentJump to Main Navigation
Combinatorics, Complexity, and ChanceA Tribute to Dominic Welsh$
Users without a subscription are not able to see the full content.

Geoffrey Grimmett and Colin McDiarmid

Print publication date: 2007

Print ISBN-13: 9780198571278

Published to Oxford Scholarship Online: September 2007

DOI: 10.1093/acprof:oso/9780198571278.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2019. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a monograph in OSO for personal use (for details see www.oxfordscholarship.com/page/privacy-policy).date: 22 July 2019

STOCHASTIC SET-BACKS

STOCHASTIC SET-BACKS

Chapter:
(p.285) 18 STOCHASTIC SET-BACKS
Source:
Combinatorics, Complexity, and Chance
Author(s):

David Stirzaker

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780198571278.003.0018

This chapter examines a random process (X(t):t ≥ 0) taking values in R, that is governed by the events of an independent renewal process N(t), as follows: whenever an event of N(t) occurs, the process X(t) is restarted and runs independently of the past with initial value that has the same distribution as X(0). The case when each segment of the process between consecutive events of N(t) is a diffusion is studied, and expressions for the characteristic function of X(t) and its stationary distribution as t → ∞ are presented. An expression is derived for the expected first-passage time of X(t) to any value a, and several explicit examples of interest are considered. The chapter presents two approaches: first, it uses Wald's equation which supplies the mean in quite general circumstances; second, it explores possibilities for use of the moment-generating function of the first-passage time.

Keywords:   Dominic Welsh, random process, Wiener process, Poisson set backs

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .