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Corrected diffusion approximations in certain random walk problems

  • D. Siegmund (a1)

Abstract

Correction terms are obtained for the diffusion approximation to one- and two-barrier ruin problems in finite and infinite time. The corrections involve moments of ladder-height distributions, and a method is given for calculating them numerically. Examples show that the corrected approximations can be much more accurate than the originals.

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Postal address: Department of Statistics, Stanford University, Stanford, CA 94305, U.S.A.

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Research partially supported by National Science Foundation Grant MCS 77-16974 and by ONR Contract N00014-77-C-0306.

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References

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