Suppose that a p-random walk {Wn} has no restriction on its movement, and let M n =
Question:
Suppose that a p-random walk {Wn} has no restriction on its movement, and let M∗
n = max0≤k≤nWk. Obtain the joint distribution of
(Wn,M∗
n) as well as the marginal distribution of M∗
n.
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Related Book For
Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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