Masuda, Yasushi - In: Stochastic Processes and their Applications 29 (1988) 1, pp. 51-63
It is known that the first passage time of a birth death process from n to n+1 has a completely monotone density, however, the discrete analogue for a simple random walk does not hold. In this paper, first passage times of simple random walks from n to n+1 and from 0 to n are characterized. This...