The supremum of a negative drift random walk with dependent heavy-tailed steps.
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Publication:1872494
DOI10.1214/aoap/1019487517zbMath1083.60506MaRDI QIDQ1872494
Thomas Mikosch, Gennady Samorodnitsky
Publication date: 6 May 2003
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoap/1019487517
large deviations; heavy tails; risk; ruin probability; stationary process; random recursion; stationary queue
60F10: Large deviations
60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
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