Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1150653 | Journal of Statistical Planning and Inference | 2007 | 10 Pages |
Abstract
Let ξi be i.i.d. symmetric random variables with P(ξi=1)=12 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Manfred Denker, Susanne Koch,