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

页码：74 / 86

页数：13

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