Equivalent conditions of asymptotics for the density of the supremum of a random walk in the Intermediate case

DOI10.1007/S10959-009-0217-7MaRDI QIDQ1028628zbMATH OpenOpenAlexFDO

Authors Yuebao Wang, Kaiyong Wang

Publication date 6 July 2009

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-009-0217-7

zbMATH Keywords

random walkdensityrandom sumsupremuminfinitely divisible distributionruin distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sums of independent random variables; random walks (60G50) Limit theorems in probability theory (60F99)

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• Asymptotics of the density of the supremum of a random walk with heavy-tailed increments
• Convolution Equivalence and Infinite Divisibility: Corrections and Corollaries
• Convolution equivalence and infinite divisibility
• Infinite divisibility and generalized subexponentiality
• On distribution tail of the maximum of a random walk
• Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
• Subexponential distributions and characterizations of related classes
• Subexponential distributions and integrated tails
• The closure of a local subexponential distribution class under convolution roots, with applications to the compound Poisson process

Cited in

(9)

• Equivalent conditions of local asymptotics for the overshoot of a random walk with heavy-tailed increments
• Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
• Tail behavior of supremum of a random walk when Cramér's condition fails
• Asymptotics of the density of the supremum of a random walk with heavy-tailed increments
• On asymptotic equivalence among the solutions of some defective renewal equations
• Supremum asymptotics for random walk with switching
• Penalisation of the symmetric random walk by several functions of the supremum
• Asymptotics for the density of the supremum of a certain kind of random walks
• Asymptotics for the moments of the overshoot and undershoot of a random walk

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