Asymptotic results on the maximal deviation of simple random walks

DOI10.1016/0304-4149(84)90299-0MaRDI QIDQ801404zbMATH OpenOpenAlexFDO

Authors Wolfgang Panny, Walter Katzenbeisser

Publication date 1984

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(84)90299-0

zbMATH Keywords

asymptotic expansionKolmogorov-Smirnov statistics

Mathematics Subject Classification ID

Exact enumeration problems, generating functions (05A15) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Combinatorial probability (60C05) Sums of independent random variables; random walks (60G50) Order statistics; empirical distribution functions (62G30)

Review text

Let \((X_ n)\) be a simple random walk on the set of integers. The authors study the conditional distributions of \({}^+D_ n=\max \{X_ k:0\leq k\leq n\}\) and \(D_ n=\max \{| X_ k|:0\leq k\leq n\}\) on the hypotheses \(X_ n=X_ 0=0\). They obtain explicit formulas as well as asymptotic results for the distribution functions and the moments.

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Cites work

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• On the Distribution of the Kolmogorov-Smirnov D-Statistic
• Simple Random Walk and Rank Order Statistics
• Some Aspects of the Random Sequence
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Cited in

(12)

• Some further results on the height of lattice paths
• The maximal height of simple random walks revisited
• How many probes are needed to compute the maximum of a random walk?
• Asymptotic behavior of large deviation probabilities for a simple oscillating random walk
• Рецензия на книгу Kolchin V. F. “Random Graphs”
• On the asymptotic behaviour of the number of maximum points of a simple random walk
• Some joint distributions for conditional random walks
• An alternative to the kolmogrov-smirnov two-sample test
• Asymptotic behavior and the moderate deviation principle for the maximum of a Dyck path
• Precise asymptotics for a random walker’s maximum
• On a maximum of some random walk on lattice of half line
• On the uniqueness of the maximum of the paths of random walks

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