First passage time densities for random walk spans

A general expression is derived for the Laplace transform of the probability density of the first passage time for the span of a symmetric continuous-time random walk to reach levelS. We show that when the mean time between steps is finite, the mean first passage time toS is proportional toS ₂. When the pausing time density is asymptotic to a stable density we show that the first passage density is also asymptotically stable. Finally when the jump distribution of the random walk has the asymptotic formp(j)A/|j| ₊₁, 0 < < 2 it is shown that the mean first passage time toS goes likeS .