An iterative approximation procedure for the distribution of the maximum of a random walk

DOI10.1016/S0167-7152(00)00124-3zbMath0967.60058MaRDI QIDQ1593724

Wolfgang Stadje

Publication date: 4 September 2001

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

zbMATH Keywords

approximation; random walk; maximum; embedded random walk

Mathematics Subject Classification ID

60G50: Sums of independent random variables; random walks

60K25: Queueing theory (aspects of probability theory)

60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)

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The geometric convergence rate of the classical change-point estimate

Cites Work

• A new approach to the Lindley recursion
• Bounds for a class of stochastic recursive equations
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