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The expected value of the one-sided cusum stopping time

Published online by Cambridge University Press:  01 July 2016

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.

Type
Letter to the Editor
Copyright
Copyright © Applied Probability Trust 1992 

References

Iglehart, D. L. (1972) Extreme values in the GI/G/1 queue. Ann. Math. Statist. 43, 627635.Google Scholar
Stadje, W. (1987) Asymptotic behavior of a stopping time related to cumulative sum procedures and single-server queues. J. Appl. Prob. 24, 200214.CrossRefGoogle Scholar