scientific article; zbMATH DE number 2177574

MaRDI QIDQ3021852zbMATH OpenFDO

Authors Denis E. Denisov

Publication date 21 June 2005

zbMATH Keywords

cycle maximumheavy-tailed distributionstopping time

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) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Recommendations

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• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
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• Asymptotic results for a non-standard random walk

Cited in

(13)

• A note on the maximum of a random walk
• Maximum on a random time interval of a random walk with infinite mean
• Local asymptotics of the cycle maximum of a heavy-tailed random walk
• Asymptotic behavior and the moderate deviation principle for the maximum of a Dyck path
• Martingale approach to subexponential asymptotics for random walks
• UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS
• The uniform asymptotics of the overshoot of a random walk with light-tailed increments
• Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments
• Precise asymptotics for a random walker’s maximum
• Upper bounds for the maximum of a random walk with negative drift
• On the distribution of maxima of a skew Brownian motion and a skew random walk on some random time intervals
• On the exact distributional asymptotics for the supremum of a random walk with increments in a class of light-tailed distribution
• A note on maxima in random walks

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