Occupation probability of a correlated random walk and a correlated ruin problem
From MaRDI portal
Publication:1819472
DOI10.1016/0167-7152(87)90064-2zbMath0613.60063MaRDI QIDQ1819472
David A. Steele, Arunava Mukherjea
Publication date: 1987
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(87)90064-2
60G50: Sums of independent random variables; random walks
Related Items
Optimal stopping rules for correlated random walks with a discount, Optimal Buy/Sell Rules for Correlated Random Walks, Limit Theorems and Absorption Problems for One-Dimensional Correlated Random Walks
Cites Work
- Unnamed Item
- Conditional expected durations of play given the ultimate outcome for a correlated random walk
- THE GAMBLER'S RUIN PROBLEM WITH CORRELATION
- Transition probability matrices for correlated random walks
- The correlated random walk
- A random walk problem with correlation
- ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION