A RANDOM WALK IN WHICH THE STEPS OCCUR RANDOMLY IN TIME

Abstract
The steps of a one-dimensional random walk are positive and occur randomly in time at a fixed mean rate. The sizes of the steps are independent and the size of each step has the same given probability distribution. The distribution of the time to reach a fixed barrier is obtained and approximations to its moments are derived. The results are extended to the case in which the barrier and the random walk process converge at a constant rate.