The maximum on a random time interval of a random walk with long-tailed increments and negative drift

Serguei Foss; Stanley Zachary

doi:10.1214/aoap/1042765662

The maximum on a random time interval of a random walk with long-tailed increments and negative drift

Serguei Foss, Stanley Zachary

Research output: Contribution to journal › Article › peer-review

66 Citations (Scopus)

Abstract

We study the asymptotics for the maximum on a random time interval of a random walk with a long-tailed distribution of its increments and negative drift. We extend to a general stopping time a result by Asmussen, simplify its proof and give some converses.

Original language	English
Pages (from-to)	37-53
Number of pages	17
Journal	Annals of Applied Probability
Volume	13
Issue number	1
DOIs	https://doi.org/10.1214/aoap/1042765662
Publication status	Published - Jan 2003

Keywords

Long-tailed distribution
Ruin probability
Subexponential distribution

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The maximum on a random time interval of a random walk with long-tailed increments and negative drift

Abstract

Keywords

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