Cumulants of the maximum of the Gaussian random walk (Q2464856)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Cumulants of the maximum of the Gaussian random walk |
scientific article |
Statements
Cumulants of the maximum of the Gaussian random walk (English)
0 references
17 December 2007
0 references
Let \(X_1,X_2,\dots\) be independent random variables, each having a normal distribution with mean \(-\beta<0\) and variance \(1\), and put \(S_n:=X_1+\dots +X_n\) with \(S_0=0\). In this paper explicit expressions for all moments (in terms of the cumulants) of the maximum \(M_\beta:=\max\{S_n:\,n\geq 0\}\) are derived. These explicit expressions hold for \(0<\beta< 2\sqrt{\pi}\) and are given in terms of Taylor series about \(\beta\) at \(0\) with coefficients that involve the Riemann zeta function. Sharp bounds on \(P(M_\beta=0)\), \(E(M_\beta)\) and \(\mathrm{Var}(M_\beta)\) are given as well.
0 references
Gaussian random walk
0 references
all-time maximum
0 references
cumulants
0 references
Riemann zeta function
0 references
Lerch's transcendent
0 references
Spitzer's identity
0 references
Euler-Maclaurin summation
0 references
queues in heavy traffic
0 references
equidistant sampling of Brownian motion
0 references
0 references