Cumulants of the maximum of the Gaussian random walk

Stochastic Processes and their Applications

Volumn 117, Issue 12, 2007, Pages 1928-1959

  Janssen, A J E M ^a   van Leeuwaarden, J S H ^b  

^a PHILIPS RESEARCH LABORATORIES   (Netherlands)

^b EINDHOVEN UNIVERSITY OF TECHNOLOGY   (Netherlands)

Author keywords

All time maximum; Cumulants; Equidistant sampling of Brownian motion; Euler Maclaurin summation; Gaussian random walk; Lerch's transcendent; Queues in heavy traffic; Riemann zeta function; Spitzer's identity

Indexed keywords

BROWNIAN MOVEMENT; EULER EQUATIONS; NORMAL DISTRIBUTION; TAYLOR SERIES;

ALL-TIME MAXIMUM; BATEMAN'S FORMULAS; EQUIDISTANT SAMPLING; GAUSSIAN RANDOM WALK; LERCH'S TRANSCENDENT; RIEMANN ZETA FUNCTION;

GAUSSIAN DISTRIBUTION;

EID: 35349028299     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.03.006     Document Type: Article

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