On distribution tail of the maximum of a random walk
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The paper discusses the tail distribution behaviour of the maximum of a random walk with negative mean value. The author completes the results known on that subject from the literature. Under some assumptions, he receives equivalent description in three cases: subexponential case, Cramér case and intermediate case.
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Cites work
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- scientific article; zbMATH DE number 3500818 (Why is no real title available?)
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Cited in
(61)- On lower limits and equivalences for distribution tails of randomly stopped sums
- Ruin probability and local ruin probability in the random multi-delayed renewal risk model
- Equivalent conditions of asymptotics for the density of the supremum of a random walk in the Intermediate case
- A local limit theorem for random walk maxima with heavy tails
- The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
- A note on the maximum of a random walk
- Estimates for the tail probability of the supremum of a random walk with independent increments
- Hypothesis testing for a Lévy-driven storage system by Poisson sampling
- On the maximum of a perturbed random walk
- Tail behavior of supremum of a random walk when Cramér's condition fails
- Arbitrary many Walkers meet infinitely often in a subballistic random environment
- On the distribution of the trajectory maximum of a random walk with switchings
- Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
- Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments
- A wide class of heavy-tailed distributions and its applications
- Heavy tails in multi-server queue
- Large deviations of sojourn times in processor sharing queues
- The maximum of a random walk reflected at a general barrier
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Optimal stopping time problem for random walks with polynomial reward functions
- The maximum of a random walk whose mean path has a maximum
- Asymptotic results for a non-standard random walk
- The weak convergence theorem for the distribution of the maximum of a Gaussian random walk and approximation formulas for its moments
- Tail asymptotics for a random sign Lindley recursion
- A local asymptotic behavior for ruin probability in the renewal risk model
- How to measure the accuracy of the subexponential approximation for the stationary single server queue
- Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
- UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS
- Extremal probability bounds in combinatorial optimization
- Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model
- Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula
- Local tail asymptotics for the joint distribution of the length and of the maximum of a random walk excursion
- A ruin model with a resampled environment
- State-independent importance sampling for random walks with regularly varying increments
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- Asymptotic Probabilities of an Exceedance Over Renewal Thresholds with an Application to Risk Theory
- Applications of factorization embeddings for Lévy processes
- On the distribution of maxima of a skew Brownian motion and a skew random walk on some random time intervals
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- Tail Asymptotics of the Supremum of a Regenerative Process
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- Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
- A note on Veraverbeke's theorem
- Random walks with non-convolution equivalent increments and their applications
- On fluctuation-theoretic decompositions via Lindley-type recursions
- On a maximum of some random walk on lattice of half line
- Local subexponentiality and self-decomposability
- Veraverbeke's theorem at large: on the maximum of some processes with negative drift and heavy tail innovations
- Limit theorem for the moment of maximum of a random walk reaching a fixed level in the region of moderate deviations
- A survey on performance analysis of warehouse carousel systems
- Bankruptcy probabilities under non-Poisson inspection
- Subexponential densities of infinitely divisible distributions on the half-line
- Tail asymptotics for the maximum of perturbed random walk
- On the uniqueness of the maximum of the paths of random walks
- A new class of large claim size distributions: definition, properties, and ruin theory
- Convolution equivalence and distributions of random sums
- Perfect simulation of infinite range Gibbs measures and coupling with their finite range approximations
- Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
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