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

DOI10.1007/S10959-009-0217-7zbMATH Open1166.60027OpenAlexW2002600477MaRDI QIDQ1028628FDOQ1028628

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

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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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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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