Boundary crossing distributions of random walks related to the law of the Iterated logaritm

DOI10.5705/SS.2012.068SzbMath1417.60035OpenAlexW2128939979MaRDI QIDQ2864551

Hans Rudolf Lerche, Ulrich Kerkhoff

Publication date: 25 November 2013

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.2012.068s

zbMATH Keywords

curved boundary crossing of random walksovershoot calculationsstopping times and the law of the iterated logaritm

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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