On the distribution tail of the sum of the maxima of two randomly stopped sums in the presence of heavy tails
DOI10.33048/SEMI.2019.16.126zbMATH Open1427.60079OpenAlexW3015375212MaRDI QIDQ2279488FDOQ2279488
Authors: Pavel Tesemnikov 
Publication date: 12 December 2019
Published in: Sibirskie Elektronnye Matematicheskie Izvestiya (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.33048/semi.2019.16.126
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Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50)
Cites Work
- An introduction to heavy-tailed and subexponential distributions
- Subexponential distributions and integrated tails
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- 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
Cited In (3)
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