Comment on ‘Corrected diffusion approximations in certain random walk problems'

DOI10.2307/3214118MaRDI QIDQ3717947zbMATH OpenOpenAlexFDO

Authors Michael L. Hogan

Publication date 1986

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214118

zbMATH Keywords

diffusion approximationgambler's ruinheavy traffic

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Diffusion processes (60J60)

Recommendations

• Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk
• Complete corrected diffusion approximations for the maximum of a random walk
• Corrected random walk approximations to free boundary problems in optimal stopping
• On moments of the first ladder height of random walks with small drift
• On a class of approximations for ruin and waiting time probabilities

Cited in

(7)

• Local information and the design of sequential hypothesis tests
• Improving Brownian approximations for boundary crossing problems
• Second corrigendum to ``Random walks and diffusion on networks
• Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk
• Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics
• Uniform renewal theory with applications to expansions of random geometric sums
• Complete corrected diffusion approximations for the maximum of a random walk

This page was built for publication: Comment on ‘Corrected diffusion approximations in certain random walk problems'

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3717947)