Corrected Diffusion Approximations in Certain Random Walk Problems.

Abstract

Correction terms are obtained for the diffusion approximation to one and two barrier ruin problems in finite and infinite time. The corrections involve moments of ladder height distributions, and a method is given for calculating them numerically. Examples show that the corrected approximations can be much more accurate than the originals. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1978
Accession Number
ADA060863

Entities

People

  • David Siegmund

Organizations

  • Stanford University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Brownian Motion
  • Data Science
  • Diffusion
  • Errors
  • Information Science
  • Integrals
  • Inversion
  • Life Tests
  • Normality
  • Probability
  • Probability Distributions
  • Quality Control
  • Random Variables
  • Random Walk
  • Sequential Analysis
  • Statistical Analysis
  • Statistics

Fields of Study

  • Mathematics

Readers

  • Educational Psychology
  • Geodesy
  • Quantum spin resonance or Electron Paramagnetic Resonance spectroscopy.