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Multivariate Lagrange Inversion and the Maximum of a Persistent Random Walk

Böhm, Walter (1999) Multivariate Lagrange Inversion and the Maximum of a Persistent Random Walk. Forschungsberichte / Institut für Statistik, 66. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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Abstract

In this paper we consider an analogue of the classical simple random walk on the set of integers which has correlated increments. In particular we are interested in the distribution of the absorption times and the maximum of such processes. (author's abstract)

Item Type: Paper
Additional Information: published in: The Journal of Statistical Planning and Inference, April 27, 1999
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 12 Jul 2006 07:32
Last Modified: 12 Mar 2015 04:42
URI: http://epub.wu.ac.at/id/eprint/120

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