On distribution tail of the maximum of a random walk (Q1965887): Difference between revisions
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Revision as of 20:12, 19 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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