Journal of Applied Mathematics and Stochastic Analysis
Volume 7 (1994), Issue 3, Pages 411-422
doi:10.1155/S104895339400033X
Abstract
Identities between first-passage or last-exit probabilities and unrestricted transition probabilities that hold for left- or right-continuous lattice-valued random
walks form the basis of an intuitively based approximation that is demonstrated
by computation to hold for certain random walks without either the left- or
right-continuity properties. The argument centers on the use of ladder variables;
the identities are known to hold asymptotically from work of Iglehart leading to
Brownian meanders.