A note on conditioned random walk-Reference-Cited by-同舟云学术

A note on conditioned random walk

Published:1983-06 Issue:2 Volume:20 Page:409-412
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Doney R. A.

Abstract

This note is concerned with N, the time at which a random walk first exits from [0,∞), and M, the maximum of the random walk up to time N. In the case that the random walk has zero mean and finite variance, simple proofs are given of asymptotic estimates for P{M > x}, P{N ≦ ux2|M > x} and P{M ≦ v √n|N > n}.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference8 articles.

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2. On a Functional Central Limit Theorem for Random Walks Conditioned to Stay Positive

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4. Functionals of Brownian Meander and Brownian Excursion

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