The maximum on a random time interval of a random walk with long-tailed increments and negative drift.

DOI10.1214/aoap/1042765662zbMath1045.60039arXiv1303.4432OpenAlexW2962991465MaRDI QIDQ1872352

Stan Zachary, Sergeĭ Georgievich Foss

Publication date: 6 May 2003

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

Full work available at URL: https://arxiv.org/abs/1303.4432

zbMATH Keywords

subexponential distributionsruin probabilitymaximumlong tailed distributions

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Patterns of buffer overflow in a class of queues with long memory in the input stream
• On distribution tail of the maximum of a random walk
• Telecommunication traffic, queueing models, and subexponential distributions
• Appendix: A primer on heavy-tailed distributions
• On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
• Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
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