Asymptotic expansions for the moments of the Gaussian random walk with two barriers
AbstractIn this study, the semi-Markovian random walk (X(t)) with a normal distribution of summands and two barriers in the levels 0 and [beta]>0 is considered. Moreover, under some weak assumptions the ergodicity of the process is discussed and the characteristic function of the ergodic distribution of the process X(t) is expressed by means of appropriating one of a boundary functional SN. Using this relation, the exact formulas for the first four moments of ergodic distribution are obtained and the asymptotic expansions are derived with three terms for the one's, as [beta]-->[infinity]. Finally, using the Monte Carlo experiments, the degree of accuracy of obtained approximate formulas to exact one's have been tested.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 69 (2004)
Issue (Month): 1 (August)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Alsmeyer, Gerold, 1991. "Some relations between harmonic renewal measures and certain first passage times," Statistics & Probability Letters, Elsevier, vol. 12(1), pages 19-27, July.
- Khaniyev, T. & Kesemen, T. & Aliyev, R. & Kokangul, A., 2008. "Asymptotic expansions for the moments of a semi-Markovian random walk with exponential distributed interference of chance," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 785-793, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.