On the maximum deviation in random walks |
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Authors: | H. Bohman |
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Affiliation: | (1) Skandia Insurance Company, P.O.Box, S-10360 Stockholm 3, Sweden |
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Abstract: | We consider a random walk with drift to the left. LetMn denote the extreme position to the right of the particle during its firstn steps. An approximate expression for the characteristic function of the distribution of this random variable is evaluated. The numerical inversion of this characteristic function is performed with the aid of the Fast Fourier Transform. |
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Keywords: | Random walk distribution of maxima numerical inversion and Fast Fourier Transform |
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