Run length statistics and the Hurst exponent in random and birth-death random walks.
From MaRDI portal
Publication:815583
DOI10.1016/0960-0779(96)00032-XzbMath1080.60506MaRDI QIDQ815583
Pierre Vallois, Charles S. Tapiero
Publication date: 17 February 2006
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
60G50: Sums of independent random variables; random walks
60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
Related Items
Self-affine time series: Measures of weak and strong persistence., Range reliability in random walks, Fractional randomness, The range inter-event process in a symmetric birth-death random walk
Cites Work
- On the range of Brownian motion and its inverse process
- A construction of the Brownian path from \(\mathbf{BES}^ 3\) pieces
- Records of the Florentine ``proveditori degli cambiatori: An example of an antipersistent time series in economics
- Diffusion arrêtée au premier instant où l'amplitude atteint un niveau donné
- The range of a simple random walk on ℤ
- Moments of an amplitude process in a random walk and approximations : computations and applications
- The Asymptotic Distribution of the Range of Sums of Independent Random Variables