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On the connection of the formulas for entropy and stationary distribution

โœ Scribed by Y. Arkhipov; A. Klar; V. Vedenyapin


Publisher
Springer
Year
1994
Tongue
English
Weight
335 KB
Volume
77
Category
Article
ISSN
0022-4715

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On an explicit formula for the distribut
โœ M.S. Sgibnev ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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