The Maximum of an Asymmetric Simple Random Walk with Reflection
History and Overview
2018-08-27 v2
Abstract
Consider the extreme value of a Bernoulli random walk on the one-dimensional integer lattice, with reflection at 0, over a finite discrete time interval. Only the asymmetric (biased) case is discussed. Asymptotic mean/variance results are given as the time interval length approaches infinity. We similarly solve an elementary traffic light problem from queueing theory.
Keywords
Cite
@article{arxiv.1808.01830,
title = {The Maximum of an Asymmetric Simple Random Walk with Reflection},
author = {Steven R. Finch},
journal= {arXiv preprint arXiv:1808.01830},
year = {2018}
}
Comments
17 pages, 16 figures