An elementary probability approach to fluctuation theory

DOI10.1016/0022-247X(63)90097-0zbMath0114.34101OpenAlexW1977738773MaRDI QIDQ2625419

Sidney C. Port

Publication date: 1963

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(63)90097-0

zbMATH Keywords

probability theory

Related Items (12)

Gap statistics close to the quantile of a random walk ⋮ Baxter algebras and combinatorial identities. I ⋮ A note on the α-quantile option ⋮ Infinitely divisible sequences ⋮ Extreme order statistics of random walks ⋮ Record statistics of a strongly correlated time series: random walks and Lévy flights ⋮ Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities ⋮ On Random Walks with a Reflecting Barrier ⋮ An extension of Vervaat's transformation and its consequences ⋮ Fluctuations of a renewal-reward process ⋮ Sample quantiles of stochastic processes with stationary and independent ents ⋮ Universal order statistics for random walks \& Lévy flights

Cites Work

• The Wiener-Hopf equation whose kernel is a probability density
• An operator identity
• An analytic problem whose solution follows from a simple algebraic identity
• An analytic approach to finite fluctuation problems in probability
• Extension of a renewal theorem
• A Combinatorial Lemma and Its Application to Probability Theory
• Stable Processes with An Absorbing Barrier
• Spitzer's Formula: A Short Proof
• A Tauberian Theorem and Its Probability Interpretation
• Order Statistics of Partial Sums
• Sums of Symmetrical Random Variables
• On the fluctuations of sums of random variables
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