Kodai Mathematical Journal
Online ISSN : 1881-5472
Print ISSN : 0386-5991
ISSN-L : 0386-5991
Joint distribution of the first hitting time and first hitting place for a random walk
Tadashi Nakajima
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1998 年 21 巻 2 号 p. 192-200

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A random walk on the real line starting from 0 is considered. A representation of the Lapalace-Fourier transform of the joint distribution of the first hitting time and the first hitting place of the set (−∞, −a) (a>0) is obtained, which gives a relation with the joint distribution of those of the set (−∞, 0). The leading idea is Wiener-Hopf's factorization theorem.
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© Department of Mathematics, Tokyo Institute of Technology
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