On an explicit formula for the distribut
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M.S. Sgibnev
📂
Article
📅
1998
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Elsevier Science
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English
⚖ 151 KB
Let M~ be the supremum of a random walk drifting to -oo which is generated by the partial sums of a sequence of independent identically distributed random variables with a common distribution F. We prove that the moment generating function Eexp(sM~) is a rational function if and only if the function