Diffusion approximations for the maximum of a perturbed random walk
DOI10.1239/AAP/1127483741zbMATH Open1086.60020OpenAlexW2075574717MaRDI QIDQ5697196FDOQ5697196
Authors: Victor F. Araman, Peter W. Glynn 
Publication date: 17 October 2005
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1127483741
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Cited In (7)
- Precise asymptotics for a random walker’s maximum
- Tail asymptotics for the maximum of perturbed random walk
- On perturbed random walks
- An iterative approximation procedure for the distribution of the maximum of a random walk
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- On the maximum of a perturbed random walk
- Complete corrected diffusion approximations for the maximum of a random walk
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