Advanced Search
MyIDEAS: Login to save this article or follow this journal

Asymptotic expansions for the moments of the Gaussian random walk with two barriers

Contents:

Author Info

  • Khaniyev, Tahir
  • Kucuk, Zafer
Registered author(s):

    Abstract

    In 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 Info

    If 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.
    File URL: http://www.sciencedirect.com/science/article/B6V1D-4CSGSX0-3/2/61df0a9501d2271854e846d61ea7a101
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 69 (2004)
    Issue (Month): 1 (August)
    Pages: 91-103

    as in new window
    Handle: RePEc:eee:stapro:v:69:y:2004:i:1:p:91-103

    Contact details of provider:
    Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

    Order Information:
    Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
    Web: https://shop.elsevier.com/order?id=505573&ref=505573_01_ooc_1&version=01

    Related research

    Keywords: Gaussian random walk Wiener-Hopf factorization moments of ergodic distribution of process asymptotic expansions ladder variables;

    References

    References listed on IDEAS
    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.:
    as in new window
    1. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. 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.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:69:y:2004:i:1:p:91-103. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.