An elementary probability approach to fluctuation theory

DOI10.1016/0022-247X(63)90097-0MaRDI QIDQ2625419zbMATH OpenOpenAlexFDO

Authors 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

Cites work

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• On the fluctuations of sums of random variables
• Order Statistics of Partial Sums
• Spitzer's Formula: A Short Proof
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• Sums of Symmetrical Random Variables
• The Wiener-Hopf equation whose kernel is a probability density

Cited in

(13)

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

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