带正漂移随机游动的若干变量的广义矩  

Generalized Moments of Several Variables Related to Random Walks with Positive Drift

作　　者：祁永成[1] 

机构地区：[1]北京大学概率统计系

出　　处：《北京大学学报（自然科学版）》1993年第5期552-562,共11页Acta Scientiarum Naturalium Universitatis Pekinensis

基　　金：国家自然科学基金

摘　　要：本文考虑具有正期望值的独立同分布随机变量的部分和序列,研究了与该部分和有关的若干变量,例如,首次或最后一次穿过一个给定水平的时间,处于首穿时前或未穿时后部分和的值,部分和序列的极小值等。本文证明了这些变量广义矩存在的充分必要条件,推广了[2]的结果。The sequence of partial sums of a sequence of i. i. d. random variables with positive expectation is considered in this paper. Some random quantities defined by the sequence of partial sums, e. g., the time at which the first or the last crossing of a given level occurs, the value of the partial sums immediately before or after the crosing, the minimum of all partial sums, are studied. The necessary and sufficient conditions for the existence of generalized moments of these quantities are proved.

关 键 词：随机游动 广义矩 随机变量 

分 类 号：O211.6[理学—概率论与数理统计]