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Comment on ‘Corrected diffusion approximations in certain random walk problems'

Published online by Cambridge University Press:  14 July 2016

Michael L. Hogan
Michael L. Hogan*
Affiliation:
Columbia University
*
∗ Postal address: Department of Statistics, Columbia University, New York, NY 10027, USA.
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Abstract

Correction terms for the diffusion approximation to the maximum and ruin probabilities for a random walk with small negative drift, obtained by Siegmund (1979) in the exponential family case, are extended by different methods to some non-exponential family cases.

Keywords

HEAVY TRAFFICGAMBLER'S RUIN

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 23 , Issue 1 , March 1986 , pp. 89 - 96
Copyright
Copyright © Applied Probability Trust 1986 

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