THE EXPECTED VALUE OF THE ONE-SIDED CUSUM STOPPING TIME

Autor(en): STADJE, W 
Stichwörter: ASYMPTOTIC BEHAVIOR; Mathematics; Statistics & Probability; WAITING TIME PROCESS
Erscheinungsdatum: 1992
Herausgeber: APPLIED PROBABILITY TRUST
Journal: ADVANCES IN APPLIED PROBABILITY
Volumen: 24
Ausgabe: 4
Startseite: 1008
Seitenende: 1009
Zusammenfassung: 
We derive an asymptotic relation for the expected value of the stopping time N(x) = inf {k greater-than-or-equal-to 0 S(k) - min0 less-than-or-equal-to i less-than-or-equal-to k S(i)less-than-or-equal-to X}, X > 0, where S(k) is a random walk with negative drift.
ISSN: 00018678
DOI: 10.2307/1427723

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