Complete corrected diffusion approximations for the maximum of a random walk

DOI10.1214/105051606000000042zbMATH Open1132.60038OpenAlexW3103444626MaRDI QIDQ997958FDOQ997958

Authors Jose Blanchet, Peter W. Glynn 

Publication date 8 August 2007

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0607121

zbMATH Keywords

random walkssingle-server queueladder heightscorrected diffusion approximation

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Central limit and other weak theorems (60F05) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Sums of independent random variables; random walks (60G50)

Abstract: Consider a random walk $(S_n:ngeq0)$ with drift $-mu$ and $S_0=0$. Assuming that the increments have exponential moments, negative mean, and are strongly nonlattice, we provide a complete asymptotic expansion (in powers of $mu>0$) that corrects the diffusion approximation of the all time maximum $M=ma{x}_{ngeq0}{S}_n$. Our results extend both the first-order correction of Siegmund [Adv. in Appl. Probab. 11 (1979) 701--719] and the full asymptotic expansion provided in the Gaussian case by Chang and Peres [Ann. Probab. 25 (1997) 787--802]. We also show that the Cram'{e}r--Lundberg constant (as a function of $mu$) admits an analytic extension throughout a neighborhood of the origin in the complex plane $mathbbC$. Finally, when the increments of the random walk have nonnegative mean $mu$, we show that the Laplace transform, $E_{mu}exp(-bR(infty))$, of the limiting overshoot, $R(infty)$, can be analytically extended throughout a disc centered at the origin in $mathbbCimesC$ (jointly for both $b$ and $mu$). In addition, when the distribution of the increments is continuous and appropriately symmetric, we show that $E_{mu}{S}_{au}$ [where $au$ is the first (strict) ascending ladder epoch] can be analytically extended to a disc centered at the origin in $mathbbC$, generalizing the main result in [Ann. Probab. 25 (1997) 787--802] and extending a related result of Chang [Ann. Appl. Probab. 2 (1992) 714--738].

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• Ladder heights, Gaussian random walks and the Riemann zeta function
• On moments of the first ladder height of random walks with small drift
• On some boundary crossing problems for Gaussian random walks
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• Repeated likelihood ratio tests
• Sequential analysis. Tests and confidence intervals

Cited In (17)

• Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions
• On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
• On Lerch's transcendent and the Gaussian random walk
• Heavy-traffic single-server queues and the transform method
• Diffusion approximations for the maximum of a perturbed random walk
• Economies-of-scale in many-server queueing systems: tutorial and partial review of the QED Halfin-Whitt heavy-traffic regime
• Corrected asymptotics for a multi-server queue in the Halfin-Whitt regime
• Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula
• Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift
• Series expansions for the all-time maximum of \(\alpha\)-stable random walks
• The weak convergence theorem for the distribution of the maximum of a Gaussian random walk and approximation formulas for its moments
• Dominant poles and tail asymptotics in the critical Gaussian many-sources regime
• Novel heavy-traffic regimes for large-scale service systems
• Comment on ‘Corrected diffusion approximations in certain random walk problems'
• Corrections to the central limit theorem for heavy-tailed probability densities
• Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics
• State-dependent importance sampling schemes via minimum cross-entropy

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