On distribution tail of the maximum of a random walk (Q1965887): Difference between revisions

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On distribution tail of the maximum of a random walk
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    On distribution tail of the maximum of a random walk (English)
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    1 March 2000
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    The paper discusses the tail distribution behaviour of the maximum of a random walk with negative mean value. The author completes the results known on that subject from the literature. Under some assumptions, he receives equivalent description in three cases: subexponential case, Cramér case and intermediate case.
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    maximum of random walk
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    large deviations
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    subexponential distribution
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    Cramér's estimate
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