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Simulating the maximum of a random walk
- Source :
- Journal of Statistical Planning and Inference. 85:127-135
- Publication Year :
- 2000
- Publisher :
- Elsevier BV, 2000.
-
Abstract
- 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.
- Subjects :
- Statistics and Probability
Heterogeneous random walk in one dimension
Stationary distribution
Applied Mathematics
Sample (statistics)
Single server queue
Queueing system
Random walk
Distribution (mathematics)
Statistics
Variance reduction
Statistical physics
Statistics, Probability and Uncertainty
human activities
Mathematics
Subjects
Details
- ISSN :
- 03783758
- Volume :
- 85
- Database :
- OpenAIRE
- Journal :
- Journal of Statistical Planning and Inference
- Accession number :
- edsair.doi...........f816fbbc0e005067553e4c69f32f3b51
- Full Text :
- https://doi.org/10.1016/s0378-3758(99)00075-0