Monte Carlo Algorithms for Finding the Maximum of a Random Walk with Negative Drift

DOI10.1239/JAP/1143936244zbMATH Open1110.65004OpenAlexW2015522227MaRDI QIDQ5488990FDOQ5488990

Authors: Ludwig Baringhaus, Rudolf Grübel 

Publication date: 25 September 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1143936244

Recommendations

• Upper bounds for the maximum of a random walk with negative drift
• A stochastically quasi-optimal search algorithm for the maximum of the simple random walk
• Simulating the maximum of a random walk
• The maximal section algorithm in the Monte Carlo method
• Monte Carlo methods for the self-avoiding walk
• An iterative approximation procedure for the distribution of the maximum of a random walk
• An Optimal Algorithm for Monte Carlo Estimation

zbMATH Keywords

Markov chainrandomizationBrownian motion with drift

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Analysis of algorithms and problem complexity (68Q25) Sums of independent random variables; random walks (60G50)

Cites Work

• Title not available (Why is that?)
• Applied Probability and Queues
• Perturbation analysis for denumerable Markov chains with application to queueing models
• Stability of Markovian processes II: continuous-time processes and sampled chains
• A compensation approach for two-dimensional Markov processes
• On the Stochastic Matrices Associated with Certain Queuing Processes
• On stability of state-dependent queues and acyclic queueing networks
• Sufficient conditions for regularity, recurrence and ergodicity of Markov processes
• A Tandem Queueing Network with Feedback Admission Control

This page was built for publication: Monte Carlo Algorithms for Finding the Maximum of a Random Walk with Negative Drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5488990)