Diffusion approximations for the maximum of a perturbed random walk

DOI10.1239/AAP/1127483741MaRDI QIDQ5697196zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stationary sequence

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Recommendations

• On the maximum of a perturbed random walk
• Tail asymptotics for the maximum of perturbed random walk
• Functional limit theorems for the maxima of perturbed random walk and divergent perpetuities in the M₁-topology
• First passage times for perturbed random walks
• Complete corrected diffusion approximations for the maximum of a random walk

Cites work

• scientific article; zbMATH DE number 3858075 (Why is no real title available?)
• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3766893 (Why is no real title available?)
• scientific article; zbMATH DE number 1301681 (Why is no real title available?)
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• Almost sure invariance principles for partial sums of weakly dependent random variables
• Corrected Diffusion Approximations for a Multistage Production-Inventory System
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Estimating tail probabilities in queues via extremal statistics
• On additive functionals of Markov chains
• On the maximum workload of a queue fed by fractional Brownian motion.
• Ruin probabilities in perturbed risk models
• THE LIMITING DISTRIBUTION OF THE LAST TIME s _n ≥ n∈
• Tail asymptotics for the maximum of perturbed random walk
• Two-sided taboo limits for Markov processes and associated perfect simulation.

Cited in

(10)

• A renewal theorem and supremum of a perturbed random walk
• 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
• A unified approach to the heavy-traffic analysis of the maximum of random walks
• Functional limit theorems for the maxima of perturbed random walk and divergent perpetuities in the M₁-topology
• 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

This page was built for publication: Diffusion approximations for the maximum of a perturbed random walk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5697196)