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Complete Corrected Diffusion Approximations for the Maximum of a Random Walk
Corrected diffusion approximations random walks ladder heights single-server queue
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2015/7/6
Consider a random walk (Sn: n ≥ 0) with drift −μ and S0= 0. Assuming that the increments have exponential moments, negative mean, and are strongly nonlattice, we provide a complete asymptotic ex...