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Some further Results on the Height of Lattice Path

Katzenbeisser, Walter and Panny, Wolfgang (1990) Some further Results on the Height of Lattice Path. Forschungsberichte / Institut für Statistik, 3. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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This paper deals with the joint and conditional distributions concerning the maximum of random walk paths and the number of times this maximum is achieved. This joint distribution was studied first by Dwass [1967]. Based on his result, the correlation and some conditional moments are derived. The main contributions are however asymptotic expansions concerning the conditional distribution and conditional moments. (author's abstract)

Item Type: Paper
Keywords: Lattice Path / Simple Random Walks / Rank Order Statistics / Asymptotic Expansions
Classification Codes: MSC 60J15, 41A60, 62G30
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 11 Jul 2006 10:09
Last Modified: 04 May 2018 13:42
URI: http://epub.wu.ac.at/id/eprint/878


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