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
    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
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references