Abstract
Let X1, X2, … be independent variables, each having a normal distribution with negative mean −β<0 and variance 1. We consider the partial sums Sn=X1+⋯+Xn, with S0=0, and refer to the process {Sn:n≥0} as the Gaussian random walk. We present explicit expressions for the mean and variance of the maximum M=max {Sn:n≥0}. These expressions are in terms of Taylor series about β=0 with coefficients that involve the Riemann zeta function. Our results extend Kingman’s first-order approximation [Proc. Symp. on Congestion Theory (1965) 137–169] of the mean for β↓0. We build upon the work of Chang and Peres [Ann. Probab. 25 (1997) 787–802], and use Bateman’s formulas on Lerch’s transcendent and Euler–Maclaurin summation as key ingredients.
Citation
A. J. E. M. Janssen. J. S. H. van Leeuwaarden. "On Lerch’s transcendent and the Gaussian random walk." Ann. Appl. Probab. 17 (2) 421 - 439, April 2007. https://doi.org/10.1214/105051606000000781
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