On the uniqueness of the maximum of the paths of random walks

Manfred Denker; Susanne Koch

doi:10.1016/j.jspi.2006.06.028

On the uniqueness of the maximum of the paths of random walks

Manfred Denker, Susanne Koch

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

Let ξ_i be i.i.d. symmetric random variables with P (ξ_i = 1) = frac(1, 2) and denote by S_n their partial sums. We derive the distribution of the difference in the position of the last and first maximum of the random walk S_n up to time t.

Original language	English (US)
Pages (from-to)	659-668
Number of pages	10
Journal	Journal of Statistical Planning and Inference
Volume	137
Issue number	3
DOIs	https://doi.org/10.1016/j.jspi.2006.06.028
State	Published - Mar 1 2007

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1016/j.jspi.2006.06.028

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title = "On the uniqueness of the maximum of the paths of random walks",

abstract = "Let ξi be i.i.d. symmetric random variables with P (ξi = 1) = frac(1, 2) and denote by Sn their partial sums. We derive the distribution of the difference in the position of the last and first maximum of the random walk Sn up to time t.",

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AU - Koch, Susanne

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AB - Let ξi be i.i.d. symmetric random variables with P (ξi = 1) = frac(1, 2) and denote by Sn their partial sums. We derive the distribution of the difference in the position of the last and first maximum of the random walk Sn up to time t.

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JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

IS - 3

ER -

On the uniqueness of the maximum of the paths of random walks

Abstract

All Science Journal Classification (ASJC) codes

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