On an explicit formula for the distribution of the supremum (Q1305220)
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scientific article; zbMATH DE number 1346077
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On an explicit formula for the distribution of the supremum |
scientific article; zbMATH DE number 1346077 |
Statements
On an explicit formula for the distribution of the supremum (English)
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27 March 2000
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The author gives necessary and sufficient conditions that the moment generating function of the supremum of a random walk drifting to \(-\infty\) and generated by partial sums of a sequence of i.i.d. random variables, is a rational function.
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random walk
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supremum
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Wiener-Hopf factorization
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rational function
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0.9264095
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0.90903413
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0.88069135
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0.8752409
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