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Determination of the Limiting Coefficient for Exponential Functionals of Random Walks with Positive Drift
http://hdl.handle.net/2261/1345
http://hdl.handle.net/2261/134539fb97de-18c0-4796-9820-0ed76b15e600
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
jms050204.pdf (242.3 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2008-03-04 | |||||
| タイトル | ||||||
| タイトル | Determination of the Limiting Coefficient for Exponential Functionals of Random Walks with Positive Drift | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| 著者 |
Hirano, Katsuhiro
× Hirano, Katsuhiro |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Let $(S_n, n\ge 1)$ be a random walk satisfying $ES_1>0$ and $h$ be a Laplace transform of a non-negative finite measure on $(0, \infty)$. Under additional conditions of $S_1$ and $h$, we consider the asymptotic behavior of $Eh(\sum_{i=1}^ne^{S_i})$. In particular we determine the limiting coefficient for asymptotic of this quantity in terms of the unique solution of the certain functional equation with boundary conditions. This solution corresponds to the Green function of $2^{-1}e^{-x}\triangle$ on {\bf R}. We apply our result to random processes in random media. Moreover we obtain the random walk analogue of Kotani's limit theorem for Brownian motion. | |||||
| 書誌情報 |
Journal of mathematical sciences, the University of Tokyo 巻 5, 号 2, p. 299-332, 発行日 1998 |
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| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 13405705 | |||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11021653 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 415 | |||||
| Mathematical Reviews Number | ||||||
| 値 | MR1633937 | |||||
| Mathmatical Subject Classification | ||||||
| 値 | 60J15(MSC1991) | |||||
| Mathmatical Subject Classification | ||||||
| 値 | 60G50(MSC1991) | |||||
| 出版者 | ||||||
| 出版者 | Graduate School of Mathematical Sciences, The University of Tokyo | |||||
| 原稿受領日 | ||||||
| 値 | 1997-07-25 | |||||
