Large deviation probabilities for random walks with heavy tails

MaRDI QIDQ1876391zbMATH OpenFDO

Authors A. A. Borovkov, Onno Boxma

Publication date 6 September 2004

Published in Siberian Advances in Mathematics (Search for Journal in Brave)

zbMATH Keywords

asymptotic expansionboundary crossing probabilityrefinement of large deviation probabilitiesregularly varying distribution tail

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50)

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• State-independent importance sampling for random walks with regularly varying increments
• On large deviations of multivariate heavy-tailed random walks
• On the asymptotic of the maximal weighted increment of a random walk with regularly varying jumps: the boundary case
• Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
• Heavy-tailed random walks, buffered queues and hidden large deviations
• On the infimum attained by a reflected Lévy process
• On <scp>Heavy‐Tail</scp> Phenomena in Some <scp>Large‐Deviations</scp> Problems
• scientific article; zbMATH DE number 5005219 (Why is no real title available?)
• Large deviations view points for heavy-tailed random walks
• Large deviations for super-heavy tailed random walks
• A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
• Large deviations for random walks under subexponentiality: The big-jump domain
• Large Deviation Principles for Random Walk Trajectories. II
• Functional large deviations for multivariate regularly varying random walks
• Asymptotics for exponential functionals of random walks
• On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
• Asymptotic Analysis of Random Walks
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