An iterative approximation procedure for the distribution of the maximum of a random walk (Q1593724)
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English | An iterative approximation procedure for the distribution of the maximum of a random walk |
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An iterative approximation procedure for the distribution of the maximum of a random walk (English)
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4 September 2001
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Let \(I(F)\) be the distribution function of the maximum of a random walk whose i.i.d. increments have the common d.f. \(F\) and a negative mean. A recursive sequence of embedded random walks is derived whose underlying d.f.'s \(F_k\) converge to the d.f. of the first ladder variable and satisfy \(F\geq F_1\geq F_2\geq \cdots\) on \([0,\infty)\) and \(I(F)= I(F_1)= I(F_2)= \cdots\). By using these random walks, improved upper bounds for the difference of \(I(F)\) and the d.f. of the maximum of the random walk after finitely many steps are obtained.
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random walk
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maximum
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approximation
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embedded random walk
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