On Large Jumps of a Cramer Random Walk

DOI10.1137/S0040585X97980129MaRDI QIDQ4830829zbMATH OpenOpenAlexFDO

Authors A. M. Kozlov, V. I. Piterbarg

Publication date 16 December 2004

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97980129

zbMATH Keywords

Cramér conditionlarge deviationsrandom walk

Mathematics Subject Classification ID

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

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Cited in

(8)

• Limit theorems in a boundary crossing problem for random walks
• Limit theorems for random walk under the assumption of maxima large deviation
• Scan statistics of Lévy noises and marked empirical processes
• On Large Jumps of a Random Walk
• On large deviations of maximum of a Cramér random walk and the queueing process
• Extremes of Shepp statistics for Gaussian random walk
• Limiting distribution for the maximal standardized increment of a random walk
• An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes

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