Abstract
Let {Sn}n=1 be a random walk with independent identically distributed increments {?i}i=1. We study the ratios of the probabilities P(Sn > x)/P(?1 > x) for all n and x. For some subclasses of subexponential distributions we find upper estimates uniform in x for the ratios which improve the available estimates for the whole class of subexponential distributions. We give some conditions sufficient for the asymptotic equivalence P(St > x) ~ Et P(?1 > x) as x ? 8. Here t is a positive integer-valued random variable independent of {?i} i = 1 The estimates obtained are also used to find the asymptotics of the tail distribution of the maximum of a random walk modulated by a regenerative process.
Original language | English |
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Pages (from-to) | 1143-1158 |
Number of pages | 16 |
Journal | Siberian Mathematical Journal |
Volume | 45 |
Issue number | 6 |
DOIs | |
Publication status | Published - Nov 2004 |
Keywords
- distribution of dominated variation
- distribution with long tail
- modulated random walk
- random walk
- subexponential distribution
- sums of random variables
- supremum of random walk