Local asymptotics of the cycle maximum of a heavy-tailed random walk
Local asymptotics of the cycle maximum of a heavy-tailed random walk
About this item
Full title
Local asymptotics of the cycle maximum of a heavy-tailed random walk
Author / Creator
Journal title
Advances in applied probability, 2007-03, Vol.39 (1), p.221-244
Language
English
Formats
More information
Scope and Contents
Contents
Let ξ, ξ
1
, ξ
2
,… be a sequence of independent and identically distributed random variables, and let
S
n
=ξ
1
+⋯+ξ
n
and
M
n
=max
k
≤
n
S
k
. Let τ=min{
n
≥1:
S
n
≤0}. We assume that ξ has a heavy-tailed distribution and negative, finite mean E(ξ)<0. We find the asymptotic...
Alternative Titles
Full title
Local asymptotics of the cycle maximum of a heavy-tailed random walk
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_crossref_primary_10_1017_S0001867800001671
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1017_S0001867800001671
Other Identifiers
ISSN
0001-8678
E-ISSN
1475-6064
DOI
10.1017/S0001867800001671
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