Complete corrected diffusion approximations for the maximum of a random walk

Annals of Applied Probability

Volumn 16, Issue 2, 2006, Pages 951-983

  Blanchet, Jose ^a,c   Glynn, Peter ^b,d  

^a HARVARD UNIVERSITY   (United States)

^b STANFORD UNIVERSITY   (United States)

^c HARVARD UNIVERSITY   (United States)

^d Stanford University   (United States)

Author keywords

Corrected diffusion approximations; Ladder heights; Random walks; Sequential analysis; Single server queue

Indexed keywords

EID: 33746864541     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051606000000042     Document Type: Article

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