The weak convergence theorem for the distribution of the maximum of a Gaussian random walk and approximation formulas for its moments

DOI10.1007/s11009-011-9240-0zbMath1270.60052MaRDI QIDQ352900

Fikri Gökpınar, Zulfiyya Mammadova, Tahir Khaniyev

Publication date: 5 July 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-011-9240-0

zbMATH Keywords

moments; weak convergence; asymptotic expansion; approximation formula; Bell polynomial; Gaussian random walk; maximum of random walk; meta-modeling

Mathematics Subject Classification ID

60G15: Gaussian processes

60F05: Central limit and other weak theorems

60G70: Extreme value theory; extremal stochastic processes

60G50: Sums of independent random variables; random walks

Related Items

Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula, Approximation results for the moments of random walk with normally distributed interference of chance

Cites Work

• Ladder heights, Gaussian random walks and the Riemann zeta function
• On distribution tail of the maximum of a random walk
• On Lerch's transcendent and the Gaussian random walk
• Cumulants of the maximum of the Gaussian random walk
• The role of Bell polynomials in integration
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