Asymptotics of randomly stopped sequences with independent increments

DOI10.1214/AOP/1176996984MaRDI QIDQ2560002zbMATHOpenAlexFDO

Authors Priscilla Greenwood

Publication date 1973

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

Full work available at URL https://doi.org/10.1214/aop/1176996984

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited in

(4)

• Asymptotics of randomly stopped sums in the presence of heavy tails
• Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
• Customer sojourn time in \(GI/GI/1\) feedback queue in the presence of heavy tails
• Higher-order expansions for compound distributions and ruin probabilities with subexponential claims

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