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Exponential Moments of First Passage Times and Related Quantities for Random Walks
2010
Electronic Communications in Probability
For a zero-delayed random walk on the real line, let τ(x), N (x) and ρ(x) denote the first passage time into the interval (x, ∞), the number of visits to the interval (−∞, x] and the last exit time from (−∞, 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 → ∞.
doi:10.1214/ecp.v15-1569
fatcat:gcphcoetybdgvkpte472xinf3a