On the maximum of a perturbed random walk

DOI10.1016/J.SPL.2014.05.026MaRDI QIDQ2251703zbMATH OpenOpenAlexFDO

Authors Alexander Iksanov, Andrey Yu. Pilipenko

Publication date 15 July 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.05.026

zbMATH Keywords

functional limit theoremperturbed random walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)

Recommendations

• Рецензия на книгу Kolchin V. F. “Random Graphs”
• Рецензия на книгу Kolchin V. F. “Random Graphs”
• Tail asymptotics for the maximum of perturbed random walk
• A note on the maximum of a random walk
• A note on maxima in random walks
• Diffusion approximations for the maximum of a perturbed random walk
• On distribution tail of the maximum of a random walk

Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• Convergence to the maximum process of a fractional Brownian motion with shot noise
• Renorming divergent perpetuities

Cited in

(14)

• On distribution tail of the maximum of a random walk
• On the distribution of the trajectory maximum of a random walk with switchings
• A renewal theorem and supremum of a perturbed random walk
• Precise asymptotics for a random walker’s maximum
• Gumbel and Fréchet convergence of the maxima of independent random walks
• Penalisation of the Standard Random Walk by a Function of the One-Sided Maximum, of the Local Time, or of the Duration of the Excursions
• Maxima of branching random walks with piecewise constant variance
• Diffusion approximations for the maximum of a perturbed random walk
• On perturbed random walks
• Importance sampling for maxima on trees
• An iterative approximation procedure for the distribution of the maximum of a random walk
• A note on maxima in random walks
• Functional limit theorems for the maxima of perturbed random walk and divergent perpetuities in the M₁-topology
• Maximum and records of random walks with stochastic resetting

This page was built for publication: On the maximum of a perturbed random walk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2251703)