This is a preview. Log in through your library . Abstract The distributions of random walk quantities like ascending ladder heights and the maximum are shown to be phase-type provided that the generic ...

This is a preview. Log in through your library . Abstract We consider the problem of efficient estimation via simulation of first passage time probabilities for a multidimensional random walk with ...

Random walks constitute a foundational concept in probability theory, describing the seemingly erratic movement of particles or agents as they traverse a space in a series of stochastic steps. In many ...

We've gotten really good at generating big datasets. From what we search for on Google to all the stuff we do on Facebook, we generate a lot of data. And there have in turn been a proliferation of ...

An interesting paper making the point that you can too forecast foreign exchange rates. Not, of course, at the hour to hour level where people speculate at leverage of 500:1, but over longer time ...