Accession Number:

AD0734133

Title:

On the Maximum of a Stationary Independent Increment Process

Descriptive Note:

Research rept.

Corporate Author:

CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER

Personal Author(s):

Report Date:

1971-11-01

Pagination or Media Count:

11.0

Abstract:

A stationary independent increment process is the continuous time analogue of the discrete random walk, and, as such, has a wide variety of applications. In this paper the author considers Mt , the maximum value that such a process attains by time t . By using renewal theoretic methods the author obtains results about Mt . In particular the author shows that if mu, the mean drift of the process, is positive, then Mtt converges to mu, and EMt h - Mt to h mu.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE