Geodesic
On the moment characteristics of ladder variables
Sibirskij žurnal čistoj i prikladnoj matematiki, Tome 18 (2018) no. 2, pp. 53-59 Cet article a éte moissonné depuis la source Math-Net.Ru

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We present an algorithm for finding exact relations connecting the moments of ladder values with the moments of increments of a random walk. As an example, using this algorithm, we find the corresponding relations for moments of order no more than three. The algorithm is based on the use of properties of factorization identities.
Keywords: random walk, ladder epoch, ladder height, factorization method. 
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     author = {V. I. Lotov},
     title = {On the moment characteristics of ladder variables},
     journal = {Sibirskij \v{z}urnal \v{c}istoj i prikladnoj matematiki},
     pages = {53--59},
     year = {2018},
     volume = {18},
     number = {2},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VNGU_2018_18_2_a4/}
}
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V. I. Lotov. On the moment characteristics of ladder variables. Sibirskij žurnal čistoj i prikladnoj matematiki, Tome 18 (2018) no. 2, pp. 53-59. http://geodesic.mathdoc.fr/item/VNGU_2018_18_2_a4/

[1] A. A. Borovkov, Probability Theory, Springer, London, 2013 | MR | Zbl

[2] Gut A., Stopped Random Walks, Springer, 1988 | MR | Zbl