Let ξi be i.i.d. symmetric random variables with P (ξi = 1) = frac(1, 2) and denote by Sn their partial sums. We derive the distribution of the difference in the position of the last and first maximum of the random walk Sn up to time t.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics