On the maximum of a random walk with small negative drift

DOI10.1214/AOP/1176993498MaRDI QIDQ1051346zbMATH OpenOpenAlexFDO

Authors Michael J. Klass

Publication date 1983

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176993498

zbMATH Keywords

renewal theoryfluctuation theoryexpected maximumladder variablesinfinite mean variablesnegative drift

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

Cited in

(2)

• On the degrees of freedom in shape-restricted regression.
• Limit theorem for the moment of maximum of a random walk reaching a fixed level in the region of moderate deviations

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