Abstract
Let (Xn: n≥ 1) be a sequence of independent and identically distributed random variables with E (X1)= 0, and let S=(Sn: n≥ 0) be its associated random walk (so that S0= 0 and Sn= X1+...+ Xn for n≥ 1). Let us introduce a small location parameter δ> 0 representing the drift of the random walk. That is, let us consider a parametric family of random walks, Sδ=(Sδ n: n≥ 0), defined by
Authors
Jose Blanchet, Peter Glynn
Publication date
2003/12
