Monte Carlo algorithms for finding the maximum of a random walk with negative drift

被引：0
|
作者：
Baringhaus, L [1 ]
Grübel, R [1 ]
机构：
[1] Leibniz Univ Hannover, Inst Math Stochast, D-30060 Hannover, Germany
来源：
JOURNAL OF APPLIED PROBABILITY | 2006年 / 43卷 / 01期
关键词：
Brownian motion with drift; conditioning; efficiency; fast Fourier transform; ladder variable; Markov chain; randomization;
D O I：
10.1239/jap/1143936244
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We discuss two Monte Carlo algorithms for finding the global maximum of a simple random walk with negative drift. This problem can be used to connect the analysis of random input Monte Carlo algorithms with ideas and principles from mathematical statistics.
引用
收藏
页码：74 / 86
页数：13
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