An iterative approximation procedure for the distribution of the maximum of a random walk

DOI10.1016/S0167-7152(00)00124-3zbMath0967.60058MaRDI QIDQ1593724

Wolfgang Stadje

Publication date: 4 September 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

approximationrandom walkmaximumembedded random walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (2)

Optimal stopping time problem for random walks with polynomial reward functions ⋮ The geometric convergence rate of the classical change-point estimate

Cites Work

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• A new approach to the Lindley recursion
• Bounds for a class of stochastic recursive equations

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