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

DOI10.1007/S11009-011-9240-0zbMATH Open1270.60052OpenAlexW2067063719MaRDI QIDQ352900FDOQ352900

Authors: Fikri Gokpinar, Tahir Khaniyev, Zulfiyya Mammadova 

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

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zbMATH Keywords

momentsasymptotic expansionweak convergenceBell polynomialapproximation formulaGaussian random walkmaximum of random walkmeta-modeling

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Cites Work

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• Asymptotic theory of statistics and probability
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• 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

Cited In (6)

• Gumbel and Fréchet convergence of the maxima of independent random walks
• On Lerch's transcendent and the Gaussian random walk
• Cumulants of the maximum of the Gaussian random walk
• 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
• Moment-based approximation for variance of semi-Markovian random walk with gamma distributed interference of chance

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