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

• 成果类型: Article
• 署名作者: Foss, S; Zachary, S
• 署名单位: Heriot Watt University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2003
• 页码: 37-53
• 关键词: DISTRIBUTIONS

摘要

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.