Estimates for the tail probability of the supremum of a random walk with independent increments

DOI10.1007/s11401-011-0681-0zbMath1260.60087OpenAlexW1988656156MaRDI QIDQ1938738

Yang Yang, Kai Yong Wang

Publication date: 22 February 2013

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11401-011-0681-0

zbMATH Keywords

random walksupremumO-subexponential distributionintegrated distribution

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05) Limit theorems in probability theory (60F99)

Related Items (3)

Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments ⋮ A new class of large claim size distributions: definition, properties, and ruin theory ⋮ Asymptotics for the solutions to defective renewal equations

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