Gumbel and Fréchet convergence of the maxima of independent random walks

DOI10.1017/apr.2019.57zbMath1453.60075arXiv1904.04607OpenAlexW3021011967MaRDI QIDQ3298818

Jorge Yslas, Thomas Mikosch

Publication date: 16 July 2020

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.04607

zbMATH Keywords

regular variationlarge deviationextreme value theoryGumbel distributionsubexponential distributionFréchet distributionmaximum random walk

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

Gumbel laws in the symmetric exclusion process

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