On Large Jumps of a Random Walk

DOI10.1137/1136004MaRDI QIDQ4713744zbMATH OpenOpenAlexFDO

Authors V. I. Piterbarg

Publication date 25 June 1992

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

Full work available at URL https://doi.org/10.1137/1136004

zbMATH Keywords

probability of large jumpsrandom walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

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Cited in

(4)

• On Large Jumps of a Cramer Random Walk
• Extremes of Shepp statistics for Gaussian random walk
• Limiting distribution for the maximal standardized increment of a random walk
• Large deviations for random walks under subexponentiality: The big-jump domain

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