搜索结果: 1-15 共查到“Random Walk”相关记录38条 . 查询时间(0.093 秒)
Simulating the Maximum of a Random Walk
Random walk Single-server queue Simulation Stationary distribution
2015/7/8
In this paper, we show how to exactly sample from the distribution of the maximum of a random walk with negative drift. We also explore related variance reduction methods.
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...
Tail Asymptotics for the Maximum of Perturbed Random Walk
Perturbed random walk Cramér–Lundberg approximation coupling heavy tails
2015/7/6
Consider a random walk S = (Sn:n≥0) that is “perturbed” by a stationary sequence (ξn:n≥0) to produce the process (Sn+ξn:n≥0). This paper is concerned with computing the distribution of the all-time ma...
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...
On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
Record statistics and persistence for a random walk with a drift
Record statistics persistence random walk with a drift
2012/9/14
We study the statistics of records of a one-dimensional random walk of nsteps,starting from the origin, and in presence of a constant bias c. At each time-step
the walker makes a random jump of lengt...
Dephasing by a Continuous-Time Random Walk Process
Dephasing Continuous-Time Random Walk Process Chemical Physics
2012/5/17
Stochastic treatments of magnetic resonance spectroscopy and optical spectroscopy require evaluations of functions like , where t is time, Q(s) is the value of a stochastic proc...
A random walk on image patches
image patches di usion maps Laplacian eigenmaps graph Laplacian
2011/7/19
In this paper we address the problem of understanding the success of algorithms that organize patches according to graph-based metrics. Algorithms that analyze patches extracted from images or time se...
A Random Walk with Drift: Interview with Peter J. Bickel
Random Walk Interview Peter J. Bickel
2011/7/5
I met Peter J. Bickel for the first time in 1981. He came to Jerusalem for a year; I had just started working on my Ph.D. studies.
A self-similar process arising from a random walk with random environment in random scenery
birth–death process random environment random scenery random walk self-similar process
2011/3/24
In this article, we merge celebrated results of Kesten and Spitzer [Z. Wahrsch. Verw. Gebiete 50 (1979) 5-25] and Kawazu and Kesten [J. Stat. Phys. 37 (1984) 561-575]. A random walk performs a motion ...
Exit times in non-Markovian drifting continuous-time random walk processes
non-Markovian drifting continuous-time random walk processes
2010/10/18
By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it d...
A general "bang-bang" principle for predicting the maximum of a random walk
Bernoulli random walk Brownian motion optimal prediction ultimate maximum stopping time convex function
2010/11/2
Let (Bt)0tT be either a Bernoulli random walk or a Brownian motion with drift, and let Mt := max{Bs : 0 s t}, 0 t T. This paper solves the general optimal prediction problem sup 0 T E[f(MT...
The ladder variables of a Markov random walk
Markov random walks ladder variables Harris recurrence regeneration epochs coupling
2009/9/22
Given a Harris chain (M,,)n40 on any state space
(9C,) with essentially unique stationary measure <, let (Xn)nZObe
a sequence of real-valued random variables which are conditionally
independent, gi...
The existence of a steady state for perturbed symmetric random walk on a random lattice
Random field passive tracer random walk in random environment Einstein relation
2009/9/21
In the present paper we consider a continuous time
random walk on an anisotropic random lattice. We show the existence
of a steady state 0, for the environment process (( (t)),ao corresponding
to t...
ON TWE RENlARRABLE DISTRIBUTIONS OF MAXIPMA OF SOME FRAGMENTS OF THE STANI)ARD REFLECTING RANDOM WALK AND BROWNIAN MOTION
Standard random walk standard Brownian motion excursion meander comeander infinite divisibility
2009/9/18
In this paper, we consider some distributions of maxima
of excursions and related variables for standard random walk and
Brownian motion. We discuss the infinite divisibility properties of
these di...