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The expected value of the one-sided cusum stopping time

Part of: Stochastic processes

Published online by Cambridge University Press:  01 July 2016

Wolfgang Stadje
Wolfgang Stadje*
Affiliation:
Universität Osnabrück
*
∗Postal address: Fachbereich Mathematik/Informatik, Universität Osnabrück, Postfach 4469, DW-4500 Osnabrück, Germany.
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Abstract

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We derive an asymptotic relation for the expected value of the stopping time , where Sk is a random walk with negative drift.

Keywords

WAITING TIME PROCESSASYMPTOTIC BEHAVIOUR

MSC classification

Primary: 60G70: Extreme value theory; extremal processes
Type
Letter to the Editor
Information
Advances in Applied Probability , Volume 24 , Issue 4 , December 1992 , pp. 1008 - 1009
Copyright
Copyright © Applied Probability Trust 1992 

References

Iglehart, D. L. (1972) Extreme values in the GI/G/1 queue. Ann. Math. Statist. 43, 627–635.Google Scholar
Stadje, W. (1987) Asymptotic behavior of a stopping time related to cumulative sum procedures and single-server queues. J. Appl. Prob. 24, 200–214.CrossRefGoogle Scholar