Addendum: On the Speed of Convergence of the Distribution of the Maximum Cumulative Sum of Independent Random Variables to the Normal Law

1972 ◽  
Vol 17 (1) ◽  
pp. 193-193 ◽  
Author(s):  
V. B. Nevzorov
Keyword(s):  
Random Variables ◽  
Independent Random Variables ◽  
Speed Of Convergence ◽  
Cumulative Sum ◽  
Distribution Of The Maximum ◽  
Normal Law

scholarly journals The Class of Distributions Associated with the Generalized Pollaczek-Khinchine Formula

2012 ◽  
Vol 49 (3) ◽  
pp. 883-887 ◽  
Author(s):  
Offer Kella
Keyword(s):  
Brownian Motion ◽  
Stationary Distribution ◽  
Lévy Process ◽  
Random Variables ◽  
Levy Process ◽  
Independent Random Variables ◽  
Reflected Brownian Motion ◽  
Distribution Of The Maximum ◽  
Workload Distribution ◽  
Stationary Workload

The goal is to identify the class of distributions to which the distribution of the maximum of a Lévy process with no negative jumps and negative mean (equivalently, the stationary distribution of the reflected process) belongs. An explicit new distributional identity is obtained for the case where the Lévy process is an independent sum of a Brownian motion and a general subordinator (nondecreasing Lévy process) in terms of a geometrically distributed sum of independent random variables. This generalizes both the distributional form of the standard Pollaczek-Khinchine formula for the stationary workload distribution in the M/G/1 queue and the exponential stationary distribution of a reflected Brownian motion.

The Distribution of the Maximum of Partial Sums of Independent Random Variables

1950 ◽  
Vol 2 ◽  
pp. 375-384 ◽  
Author(s):  
Mark Kac ◽  
Harry Pollard
Keyword(s):  
Random Variables ◽  
Independent Random Variables ◽  
Partial Sums ◽  
Distribution Of The Maximum

1. The problem. It has been shown [1] that if Xi, + X2, … are independent random variables each of density then(1.1)

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