Asymptotic results on the maximal deviation of simple random walks

This paper deals with the maximal one and two sided deviation of simple random walks. The remarkable asymptotic results of Kemperman, concerning the related conditional distribution functions are generalized. Moreover, exact enumeration formulae for the moments are given and their asymptotic equivalents are derived.

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Year of publication:	1984
Authors:	Katzenbeisser, Walter ; Panny, Wolfgang
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 18.1984, 2, p. 263-275
Publisher:	Elsevier
Keywords:	random walks asymptotic expansions Kolmogorov-Smirnov statistics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874210