A random walk problem with correlation

DOI10.2307/3212813MaRDI QIDQ5653419zbMATH OpenOpenAlexFDO

Authors 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
• Occupation probability of a correlated random walk and a correlated ruin problem
• Optimal stopping rules for correlated random walks with a discount

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