Ladder heights, Gaussian random walks and the Riemann zeta function
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Publication:1356367
DOI10.1214/AOP/1024404419zbMATH Open0880.60070OpenAlexW2055983684MaRDI QIDQ1356367FDOQ1356367
Authors: Joseph T. Chang, Yuval Peres 
Publication date: 7 January 1998
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1024404419
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Cites Work
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Cited In (28)
- Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes
- Overshoot in the Case of Normal Variables: Chernoff's Integral, Latta's Observation, and Wijsman's Sum
- Critical resonance in the non-intersecting lattice path model
- Uniform renewal theory with applications to expansions of random geometric sums
- Extreme order statistics of random walks
- On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- On Lerch's transcendent and the Gaussian random walk
- Cumulants of the maximum of the Gaussian random walk
- Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions
- Heavy-traffic single-server queues and the transform method
- Economies-of-scale in many-server queueing systems: tutorial and partial review of the QED Halfin-Whitt heavy-traffic regime
- Corrected asymptotics for a multi-server queue in the Halfin-Whitt regime
- Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula
- Asymptotics of the maximum of Brownian motion under Erlangian sampling
- Renewal sequences and record chains related to multiple zeta sums
- Approximation results for the moments of random walk with normally distributed interference of chance
- Back to the roots of the M/D/s queue and the works of Erlang, Crommelin and Pollaczek
- Some variations on the extremal index
- On the moments of a semi-Markovian random walk with Gaussian distribution of summands
- Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift
- Moment-based approximation for variance of semi-Markovian random walk with gamma distributed interference of chance
- The weak convergence theorem for the distribution of the maximum of a Gaussian random walk and approximation formulas for its moments
- Dominant poles and tail asymptotics in the critical Gaussian many-sources regime
- Novel heavy-traffic regimes for large-scale service systems
- Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics
- Complete corrected diffusion approximations for the maximum of a random walk
- Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes
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