Limits of first passage times to rare sets in regenerative processes

DOI10.1214/AOAP/1177004772MaRDI QIDQ1901082zbMATH OpenOpenAlexFDO

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

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)

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• On the speed of convergence to an exponential distribution for the time of the first occurrence of a rare event in a regenerating process
• Limit theory for taboo-regenerative processes
• On the asymptotic properties of extreme values of discrete random variables
• Large deviations and fast simulation in the presence of boundaries.
• A Stochastic Representation for Nonlocal Parabolic PDEs with Applications
• 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
• Lévy processes with two-sided reflection
• 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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