Curve crossing for random walks reflected at their maximum

DOI10.1214/009117906000000953zbMath1133.60022arXiv0708.1676OpenAlexW2073916266MaRDI QIDQ2373569

Ronald Arthur Doney, Ross A. Maller

Publication date: 12 July 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.1676

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Renewal theory (60K05)

Related Items (5)

Pruitt's estimates in Banach space ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ On the conditional default probability in a regulated market with jump risk ⋮ Renewal theorems and stability for the reflected process ⋮ A lifetime of excursions through random walks and Lévy processes

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