A random walk problem with correlation

DOI10.2307/3212813zbMATH Open0242.60026OpenAlexW4244896659MaRDI QIDQ5653419FDOQ5653419

A. D. Proudfoot, D. G. Lampard

Publication date: 1972

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

Full work available at URL: https://doi.org/10.2307/3212813

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Cited In (3)

• Optimal Buy/Sell Rules for Correlated Random Walks
• Optimal stopping rules for correlated random walks with a discount
• Occupation probability of a correlated random walk and a correlated ruin problem

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