Geodesic
Formula for the Laplace Transform of the Projection of a Distribution on the Positive Semiaxis and Some of Its Applications
Matematičeskie zametki, Tome 84 (2008) no. 5, pp. 741-754

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We obtain a formula for the Laplace transform of the restriction of an arbitrary probability distribution on the positive semiaxis in the form of a Cauchy-type integral in infinite limits of the characteristic function of this distribution. Using this result and the estimates of the concentration function of the sum of independent random variables, we derive a representation for the Laplace transform of the restriction of the harmonic measure on the positive semiaxis. In conclusion, we present an estimate of the lower ladder height distribution for the case in which the distribution of the value of the jump in a random walk is normal.
Mots-clés : Laplace transform
Keywords: probability distribution, Cauchy integral, harmonic measure, renewal measure, random walk, Vitali theorem. 
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     author = {S. V. Nagaev},
     title = {Formula for the {Laplace} {Transform} of the {Projection} of a {Distribution} on the {Positive} {Semiaxis} and {Some} of {Its} {Applications}},
     journal = {Matemati\v{c}eskie zametki},
     pages = {741--754},
     publisher = {mathdoc},
     volume = {84},
     number = {5},
     year = {2008},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MZM_2008_84_5_a9/}
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S. V. Nagaev. Formula for the Laplace Transform of the Projection of a Distribution on the Positive Semiaxis and Some of Its Applications. Matematičeskie zametki, Tome 84 (2008) no. 5, pp. 741-754. http://geodesic.mathdoc.fr/item/MZM_2008_84_5_a9/