Add to ORKGConsider a random walk S = (Sn: n ≥ 0) that is “perturbed ” by a stationary sequence (ξn: n ≥ 0) to produce the process S = (Sn + ξn: n ≥ 0). This paper is concerned with developing limit theorems and approximations for the distribution of Mn = max{Sk + ξk: 0 ≤ k ≤ n} when the random walk has a drift close to zero. Such maxima are of interest in several modeling contexts, including operations management and insurance risk theory. The associated limits combine features of both conventional diffusion approximations for random walk and extreme value limit theory. 1
We consider the optimal scaling problem for high-dimensional Random walk Metropolis (RWM) algorithms...
method which creates a Markov chain which is reversible with respect to a given target distribution ...
Abstract. Let (Sn, n ≥ 1) be a random walk satisfying ES1> 0 and h be a Laplace transform of a no...
Consider a random walk S = (Sn: n ≥ 0) that is “perturbed ” by a stationary sequence (ξn: n ≥ 0) to ...
Let I(F) be the distribution function (d.f.) of the maximum of a random walk whose i.i.d. increments...
Wachtel V, Shneer S. A general approach to the analysis of the maximum of a random walk in heavy tra...
Kugler J, Wachtel V. Upper bounds for the maximum of a random walk with negative drift. J. Appl. Pro...
Let F be the common distribution function of the increments of a random walk {Sn, n [greater-than-or...
Let η∗n denote the maximum, at time n, of a nonlattice one-dimensional branching random walk ηn poss...
Let (Xi)i1 be i.i.d. random variables with EX1 = 0, regularly varying with exponent a > 2 and taP(jX...
summary:If a stochastic process can be approximated with a Wiener process with positive drift, then ...
We consider the extreme value statistics of centrally-biased random walks with asymptotically-zero d...
Abstract. We study the maximum of a Brownian motion with a par-abolic drift; this is a random variab...
This paper considers the problem of scaling the proposal distribution of a multidimensional random w...
Assume that one observes the kth,2kth,…,nkth value of a Markov chain X1,h,…,Xnk,h. That means we ass...
We consider the optimal scaling problem for high-dimensional Random walk Metropolis (RWM) algorithms...
method which creates a Markov chain which is reversible with respect to a given target distribution ...
Abstract. Let (Sn, n ≥ 1) be a random walk satisfying ES1> 0 and h be a Laplace transform of a no...
Consider a random walk S = (Sn: n ≥ 0) that is “perturbed ” by a stationary sequence (ξn: n ≥ 0) to ...
Let I(F) be the distribution function (d.f.) of the maximum of a random walk whose i.i.d. increments...
Wachtel V, Shneer S. A general approach to the analysis of the maximum of a random walk in heavy tra...
Kugler J, Wachtel V. Upper bounds for the maximum of a random walk with negative drift. J. Appl. Pro...
Let F be the common distribution function of the increments of a random walk {Sn, n [greater-than-or...
Let η∗n denote the maximum, at time n, of a nonlattice one-dimensional branching random walk ηn poss...
Let (Xi)i1 be i.i.d. random variables with EX1 = 0, regularly varying with exponent a > 2 and taP(jX...
summary:If a stochastic process can be approximated with a Wiener process with positive drift, then ...
We consider the extreme value statistics of centrally-biased random walks with asymptotically-zero d...
Abstract. We study the maximum of a Brownian motion with a par-abolic drift; this is a random variab...
This paper considers the problem of scaling the proposal distribution of a multidimensional random w...
Assume that one observes the kth,2kth,…,nkth value of a Markov chain X1,h,…,Xnk,h. That means we ass...
We consider the optimal scaling problem for high-dimensional Random walk Metropolis (RWM) algorithms...
method which creates a Markov chain which is reversible with respect to a given target distribution ...
Abstract. Let (Sn, n ≥ 1) be a random walk satisfying ES1> 0 and h be a Laplace transform of a no...