Improving Brownian approximations for boundary crossing problems
| Autor: | Robert Keener |
|---|---|
| Rok vydání: | 2013 |
| Předmět: |
Statistics and Probability
asymptotic expansion 010102 general mathematics Mathematical analysis Boundary crossing Mathematics - Statistics Theory Nonlinear boundary Statistics Theory (math.ST) Random walk 01 natural sciences stopping times random walk 010104 statistics & probability Mathematics::Probability FOS: Mathematics 0101 mathematics Donsker’s theorem Asymptotic expansion Donsker's theorem excess over the boundary Brownian motion Mathematics |
| Zdroj: | Bernoulli 19, no. 1 (2013), 137-153 |
| ISSN: | 1350-7265 |
| DOI: | 10.3150/11-bej396 |
| Popis: | Donsker's theorem shows that random walks behave like Brownian motion in an asymptotic sense. This result can be used to approximate expectations associated with the time and location of a random walk when it first crosses a nonlinear boundary. In this paper, correction terms are derived to improve the accuracy of these approximations. Published in at http://dx.doi.org/10.3150/11-BEJ396 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm) |
| Databáze: | OpenAIRE |
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