Combinatorial methods for investigating the distribution of the trajectory amplitude of a random walk. II

V. K. Zakharov, O. V. Sarmanov


Abstract: For a Wiener process with a nonzero drift, the authors find the distribution density for the trajectory amplitude on a segment adjacent to the beginning of the trajectory.
Formulas are given for the first two moments of the amplitude and it is shown that the change in the variance is monotonic.
Bibliography: 2 titles.

UDC: 518:519.2

MSC: Primary 60J15; Secondary 60C05, 60F05, 60J65

Received: 12.03.1973

 English version: Mathematics of the USSR-Sbornik, 1973, 21:3, 439–448

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