Approximation of the distribution of the supremum of a centered random walk. Application to the local score

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)

zbMATH Keywords

random walkmaximumlocal scoreSkorokhod's embedding

Mathematics Subject Classification ID

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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