Maximum on a random time interval of a random walk with infinite mean

DOI10.1007/S11134-020-09661-ZMaRDI QIDQ2052793zbMATH OpenOpenAlexFDO

Authors Denis E. Denisov

Publication date 29 November 2021

Published in Queueing Systems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1907.08920

zbMATH Keywords

busy cyclebusy periodheavy-tailed distributionrandom walksingle-server queuesubexponential distribution

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Extreme value theory; extremal stochastic processes (60G70) Queueing theory (aspects of probability theory) (60K25)

Abstract: Let $x{i}_1,x{i}_2,ldots$ be independent, identically distributed random variables with infinite mean $mathbfE[|x{i}_1|]=infty.$ Consider a random walk $S_n=x{i}_1+cdots+x{i}_n$, a stopping time $au=minnge1:S_{n}le0$ and let $M_{a}u=ma{x}_{0leileau}{S}_i$. We study the asymptotics for $mathbfP(M_{a}u>x),$ as $xoinfty$.

Recommendations

• scientific article; zbMATH DE number 2177574
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• Local asymptotics of the cycle maximum of a heavy-tailed random walk
• UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS
• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk

Cites work

• A local limit theorem for random walk maxima with heavy tails
• An introduction to heavy-tailed and subexponential distributions
• Asymptotics for sums of random variables with local subexponential behaviour
• Functions of probability measures
• scientific article; zbMATH DE number 2177574 (Why is no real title available?)
• scientific article; zbMATH DE number 3662269 (Why is no real title available?)
• scientific article; zbMATH DE number 3662270 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Large deviations for random walks under subexponentiality: The big-jump domain
• Local asymptotics of the cycle maximum of a heavy-tailed random walk
• Local large deviations and the strong renewal theorem
• Martingale approach to subexponential asymptotics for random walks
• Patterns of buffer overflow in a class of queues with long memory in the input stream
• Some asymptotic results for transient random walks
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Subexponential distributions and dominated-variation tails
• Subexponential distributions and integrated tails
• Tail asymptotics for the supremum of a random walk when the mean is not finite
• The class of subexponential distributions
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
• The Strong Law of Large Numbers When the Mean is Undefined

Cited in

(7)

• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• Simulating the maximum of a random walk
• scientific article; zbMATH DE number 2177574 (Why is no real title available?)
• The maximum of a random walk whose mean path has a maximum
• Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary
• An analog of Wald's identity for random walks with infinite mean
• Asymptotics of the maximum sum of randomly stopped finite random walks with subexponential distribution

This page was built for publication: Maximum on a random time interval of a random walk with infinite mean

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2052793)