4Properties of Random Walks
4.1. Introduction
The study of BPREs essentially uses properties of the ordinary random walk S : = {Sn, n ≥ 0} with S0 := 0. This chapter contains some basic results needed in the sequel.
To begin with, we introduce four sequences of random variables related to S. Let
and
be the sequences of strict descending ladder epochs of the random walk and let
be the sequences of weak descending ladder epochs.
In a similar way, we specify the sequences of strict ascending ladder epochs
and weak ascending ladder epochs
The random variables and are called ladder heights. Ladder epochs and ladder heights will repeatedly appear in our subsequent arguments. Rather often they will occur when using the so-called duality principle, which we formulate as a theorem.
THEOREM ...
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