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Diffusion Approximations for the Maximum of a Perturbed Random Walk
Perturbed random walk diffusion approximation light-tailed distributi
2015/7/6
Considera random walk S=(Sn:n≥O) that is "perturbed" by a stationary sequence (ξn:n≥O) to produce the process S=(Sn+ξn:n≥O). In this paper, we are concerned with developing limit theorems and approxim...
Complete Corrected Diffusion Approximations for the Maximum of a Random Walk
Corrected diffusion approximations random walks ladder heights single-server queue
2015/7/6
Consider a random walk (Sn: n ≥ 0) with drift −μ and S0= 0. Assuming that the increments have exponential moments, negative mean, and are strongly nonlattice, we provide a complete asymptotic ex...