Cumulants of the maximum of the Gaussian random walk
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- Shlomo Halfin & Ward Whitt, 1981. "Heavy-Traffic Limits for Queues with Many Exponential Servers," Operations Research, INFORMS, vol. 29(3), pages 567-588, June.
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- Mark Broadie & Paul Glasserman & Steven Kou, 1997. "A Continuity Correction for Discrete Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 325-349, October.
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- A. J. E. M. Janssen & J. S. H. van Leeuwaarden, 2016. "Dominant poles and tail asymptotics in the critical Gaussian many-sources regime," Queueing Systems: Theory and Applications, Springer, vol. 84(3), pages 211-236, December.
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Keywords
Gaussian random walk All-time maximum Cumulants Riemann zeta function Euler-Maclaurin summation Queues in heavy traffic Equidistant sampling of Brownian motion;Statistics
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