First passage problems for upwards skip-free random walks via the scale functions paradigm

Abstract

AbstractIn this paper we develop the theory of theWandZscale functions for right-continuous (upwards skip-free) discrete-time, discrete-space random walks, along the lines of the analogous theory for spectrally negative Lévy processes. Notably, we introduce for the first time in this context the one- and two-parameter scale functionsZ, which appear for example in the joint deficit at ruin and time of ruin problems of actuarial science. Comparisons are made between the various theories of scale functions as one makes time and/or space continuous.