The weak convergence theorem for the distribution of the maximum of a Gaussian random walk and approximation formulas for its moments

DOI10.1007/s11009-011-9240-0zbMath1270.60052OpenAlexW2067063719MaRDI QIDQ352900

Fikri Gökpınar, Zulfiyya Mammadova, Tahir Khaniyev

Publication date: 5 July 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-011-9240-0

zbMATH Keywords

momentsweak convergenceasymptotic expansionapproximation formulaBell polynomialGaussian random walkmaximum of random walkmeta-modeling

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50)

Related Items

Approximation results for the moments of random walk with normally distributed interference of chance, Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula

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