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Cumulants of the maximum of the Gaussian random walk

  • Published:2007-12 Issue:12 Volume:117 Page:1928-1959
  • ISSN:0304-4149
  • Container-title:Stochastic Processes and their Applications
  • language:en
  • Short-container-title:Stochastic Processes and their Applications

Author:

Janssen A.J.E.M.,van Leeuwaarden J.S.H.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference31 articles.

1. Calculation of the GI/G/1 waiting time distribution and its cumulants from Pollaczek’s formulas;Abate;Arch. Elektr. Übertragung,1993

2. Handbook of Mathematical Functions;Abramowitz,1970

3. Applied Probability and Queues;Asmussen,2003

4. Discretization error in simulation of one-dimensional reflecting Brownian motion;Asmussen;Ann. Appl. Probab.,1995

5. Dimensioning large call centers;Borst;Oper. Res.,2004

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