Concepedia

Random Walk Maxima

Random Walk Maxima is a stochastic process statistic that captures the highest value attained by a random walk over a given sequence of steps, distinguishing it from other path-dependent functionals by focusing exclusively on the supremum of the trajectory.

59

Publications

1.9K

Citations

75

Authors

59

Institutions

Publications per year

2017–2026

8

Parents

Publications

59

Maximum of a Fractional Brownian Motion: Probabilities of Small Values

G. M. Molchan · Communications in Mathematical Physics · 1999 · 154 citations

, , +12

Tail probabilities for non-standard risk and queueing processes with subexponential jumps

Søren Asmussen, Hanspeter Schmidli, Volker Schmidt · Advances in Applied Probability · 1999 · 102 citations

, , +16

Phase-Type Representations in Random Walk and Queueing Problems

Søren Asmussen · The Annals of Probability · 1992 · 89 citations · Full text

, , +12

On distribution tail of the maximum of a random walk

Dmitry Korshunov · Stochastic Processes and their Applications · 1997 · 87 citations

, , +11

Precise asymptotics for a random walker’s maximum

Journal of Statistical Mechanics Theory and Experiment · 2005 · 76 citations · Full text

, , +13

1–5 of 59

Authors

75

  1. SN
    Satya N. Majumdar

    Centre National de la Recherche Scientifique, France

    5 publications · 183 citations

    5

    h-index

  2. SA
    Søren Asmussen

    Aarhus University, Denmark

    4 publications · 278 citations

    4

    h-index

  3. GS
    Grégory Schehr

    Centre National de la Recherche Scientifique, France

    3 publications · 87 citations

    3

    h-index

  4. NG
    Nina Gantert

    Technical University of Munich, Germany

    3 publications · 84 citations

    3

    h-index

  5. RA
    R. A. Doney

    University of Manchester, United Kingdom

    3 publications · 82 citations

    3

    h-index

1–5 of 75

Institutions

59

  1. Université Paris-Sud

    Orsay, France

    5 h-index

    12 publications

    420 citations

  2. Laboratoire de Physique Théorique et Modèles Statistiques

    Orsay, France

    4 h-index

    10 publications

    354 citations

  3. University of Cambridge

    Cambridge, United Kingdom

    3 h-index

    3 publications

    88 citations

  4. University of Manchester

    Manchester, United Kingdom

    3 h-index

    4 publications

    130 citations

  5. Lund University

    Lund, Sweden

    3 h-index

    3 publications

    189 citations

  6. Institut Henri Poincaré

    Paris, France

    2 h-index

    2 publications

    96 citations

  7. Princeton University

    Princeton, United States

    2 h-index

    2 publications

    25 citations

  8. Centre National de la Recherche Scientifique

    Paris, France

    2 h-index

    4 publications

    156 citations

1–8 of 59

Venues

  1. Journal of Applied Probability

    JAP · 9 publications · 140 citations

    9

    h-index

  2. Advances in Applied Probability

    AAP · 5 publications · 222 citations

    5

    h-index

  3. Theory of Probability and Its Applications

    4 publications · 95 citations

    4

    h-index

  4. Stochastic Processes and their Applications

    3 publications · 143 citations

    3

    h-index

  5. The Annals of Probability

    3 publications · 192 citations

    3

    h-index

1–5