Large deviation probabilities for random walks with heavy tails
From MaRDI portal
The authors consider the sums and maxima of sequential sums of random variables with regularly varying distribution tails of index \(-\beta\), with \(\beta\in (1,2)\). First-order approximations are established as well as some refinements for the distributions of these sums and maxima in a large deviation area. Similar results are obtained for probabilities of crossing arbitrary curvilinear boundaries in the large deviation range by random walks generated by such sequential sums.
Recommendations
- On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
- Large deviations for super-heavy tailed random walks
- Large deviations probabilities for random walks in the absence of finite expectations of jumps
- scientific article; zbMATH DE number 5049485
- On Probabilities of Large Deviations for Random Walks. II. Regular Exponentially Decaying Distributions
Cited in
(21)- On large deviations of multivariate heavy-tailed random walks
- Large deviations probabilities for random walks in the absence of finite expectations of jumps
- Large and moderate deviations for record numbers in some non-nearest neighbor random walks
- Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
- On the asymptotic of the maximal weighted increment of a random walk with regularly varying jumps: the boundary case
- Large deviations for super-heavy tailed random walks
- Heavy-tailed random walks, buffered queues and hidden large deviations
- Functional large deviations for multivariate regularly varying random walks
- On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
- scientific article; zbMATH DE number 5005219 (Why is no real title available?)
- Asymptotic Analysis of Random Walks
- On the infimum attained by a reflected Lévy process
- A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
- scientific article; zbMATH DE number 934477 (Why is no real title available?)
- On <scp>Heavy‐Tail</scp> Phenomena in Some <scp>Large‐Deviations</scp> Problems
- State-independent importance sampling for random walks with regularly varying increments
- Large Deviation Principles for Random Walk Trajectories. II
- On Probabilities of Large Deviations for Random Walks. II. Regular Exponentially Decaying Distributions
- Asymptotics for exponential functionals of random walks
- Large deviations view points for heavy-tailed random walks
- Large deviations for random walks under subexponentiality: The big-jump domain
This page was built for publication: Large deviation probabilities for random walks with heavy tails
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1876391)
