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Название: First Passage Time Densities for Random Walk Spans
Авторы: Weiss G.H., DiMarzio E.A., Gaylord R.J.
Journal of Statistical Physics, Vol, 42, Nos. 3/4, 1986, p. 567-572.
A general expression is derived for the Laplace transform of the probability density of the first passage time for the span of a symmetric continuous-time random walk to reach level S. We show that when the mean time between steps is finite, the mean first passage time to S is proportional to S 2. When the pausing time density is asymptotic to a stable density we show that the first passage density is also asymptotically stable...