Comment on ‘Corrected diffusion approximations in certain random walk problems'-Reference-Cited by-同舟云学术

Comment on ‘Corrected diffusion approximations in certain random walk problems'

Published:1986-03 Issue:1 Volume:23 Page:89-96
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Hogan Michael L.

Abstract

Correction terms for the diffusion approximation to the maximum and ruin probabilities for a random walk with small negative drift, obtained by Siegmund (1979) in the exponential family case, are extended by different methods to some non-exponential family cases.

Publisher

Cambridge University Press (CUP)

Subject

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

Reference10 articles.

1. On the Maximum of a Random Walk with Small Negative Drift

2. Corrected diffusion approximations in certain random walk problems

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