Limits of first passage times to rare sets in regenerative processes

DOI10.1214/AOAP/1177004772zbMATH Open0830.60021OpenAlexW1981628393MaRDI QIDQ1901082FDOQ1901082

Authors: Paul Glasserman, S. G. Kou 

Publication date: 15 January 1996

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

Full work available at URL: https://doi.org/10.1214/aoap/1177004772

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zbMATH Keywords

first passage timesextreme valueslimit theoremsrare eventslaw of the iterated logarithmregenerative processes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Strong limit theorems (60F15) Zero-one laws (60F20)

Cited In (16)

• On the maximum workload of a queue fed by fractional Brownian motion.
• Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion
• On the speed of convergence to an exponential distribution for the time of the first occurrence of a rare event in a regenerating process
• On the asymptotic properties of extreme values of discrete random variables
• Limit theory for taboo-regenerative processes
• A Stochastic Representation for Nonlocal Parabolic PDEs with Applications
• Lévy Processes with Two-Sided Reflection
• Large deviations and fast simulation in the presence of boundaries.
• Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
• Approximation of bounds on mixed-level orthogonal arrays
• Time to Reach Buffer Capacity in aBMAPQueue
• Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift
• On exponential limit laws for hitting times of rare sets for Harris chains and processes
• Estimating tail decay for stationary sequences via extreme values
• Asymptotic behavior of maxima of independent random variables. Discrete case
• The laws of iterated and triple logarithms for extreme values of regenerative processes

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