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Simple random walk statistics. Part II: Continuous time results

Published online by Cambridge University Press:  14 July 2016

W. Böhm*
Affiliation:
University of Economics, Vienna
W. Panny*
Affiliation:
University of Economics, Vienna
*
Postal address: Department of Statistics, University of Economics, Augasse 2–6, A-1090 Wien, Austria.
Postal address: Department of Statistics, University of Economics, Augasse 2–6, A-1090 Wien, Austria.

Abstract

In this paper various statistics for randomized random walks and their distributions are presented. The distributional results are derived by means of a limiting procedure applied to the pertaining discrete time process, which has been considered in part I of this work (Katzenbeisser and Panny 1996). This basic approach, originally due to Meisling (1958), seems to offer certain technical advantages, since it avoids the use of Laplace transforms and is even simpler than Feller's randomization technique.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 1996 

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