Approximation of the distribution of the supremum of a centered random walk. Application to the local score
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Publication:596509
DOI10.1023/B:MCAP.0000026559.87023.eczbMath1045.60021MaRDI QIDQ596509
Pierre Vallois, Marie-Pierre Étienne
Publication date: 10 August 2004
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17) Functional limit theorems; invariance principles (60F17)
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