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  1. 121 数理科学研究科
  2. Journal of Mathematical Sciences, the University of Tokyo
  3. 5
  4. 2
  1. 0 資料タイプ別
  2. 30 紀要・部局刊行物
  3. Journal of Mathematical Sciences, the University of Tokyo
  4. 5
  5. 2

Determination of the Limiting Coefficient for Exponential Functionals of Random Walks with Positive Drift

http://hdl.handle.net/2261/1345
39fb97de-18c0-4796-9820-0ed76b15e600
名前 / ファイル ライセンス アクション
jms050204.pdf jms050204.pdf (242.3 kB)
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 http://purl.org/coar/resource_type/c_6501
タイプ departmental bulletin paper
著者 Hirano, Katsuhiro

× Hirano, Katsuhiro

WEKO 138874

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
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 415
主題Scheme NDC
Mathematical Reviews Number
MR1633937
Mathmatical Subject Classification
60J15(MSC1991)
Mathmatical Subject Classification
60G50(MSC1991)
出版者
出版者 Graduate School of Mathematical Sciences, The University of Tokyo
原稿受領日
1997-07-25
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