English

Distribution of Shifted Discrete Random Walk and Vandermonde matrices

Probability 2023-02-08 v1

Abstract

In this work we set up the generating function of the ultimate time survival probability φ(u+1)\varphi(u+1), where φ(u)=P(supn1i=1n(Xiκ)<u)\varphi(u)=\mathbb{P}\left(\sup_{n\geqslant 1}\sum_{i=1}^{n}\left(X_i-\kappa\right)<u\right) and uN0,κNu\in\mathbb{N}_0,\,\kappa\in\mathbb{N}, and the random walk {i=1nXi,nN}\left\{\sum_{i=1}^{n}X_i,\,n\in\mathbb{N}\right\} consists of independent and identically distributed random variables XiX_i, which are non-negative and integer valued. We also give expressions of φ(u)\varphi(u) via the roots of certain polynomials. Based on the proven theoretical statements, we give several examples on φ(u)\varphi(u) and its generating function expressions, when random variables XiX_i admit Bernoulli, Geometric and some other distributions.

Keywords

Cite

@article{arxiv.2208.04091,
  title  = {Distribution of Shifted Discrete Random Walk and Vandermonde matrices},
  author = {Andrius Grigutis},
  journal= {arXiv preprint arXiv:2208.04091},
  year   = {2023}
}