Local asymptotics of the cycle maximum of a heavy-tailed random walk

DOI10.1239/AAP/1175266476zbMATH Open1114.60038OpenAlexW1995154657MaRDI QIDQ3435397FDOQ3435397

Authors: Denis E. Denisov, V. Shneer 

Publication date: 26 April 2007

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

Full work available at URL: https://doi.org/10.1239/aap/1175266476

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zbMATH Keywords

random walkstopping timeheavy-tailed distributionsubexponential distributionbusy cycle

Mathematics Subject Classification ID

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

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Cited In (13)

• Random walks with non-convolution equivalent increments and their applications
• Maximum on a random time interval of a random walk with infinite mean
• A local limit theorem for random walk maxima with heavy tails
• The closure of the convolution equivalent distribution class under convolution roots with applications to random sums
• On the almost decrease of a subexponential density
• The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments
• Large deviations for random walks under subexponentiality: The big-jump domain
• Local asymptotics of a Markov modulated random walk with heavy-tailed increments
• State-independent Importance Sampling for Random Walks with Regularly Varying Increments
• On local asymptotics for a heavy-tailed random walk maximum with applications in insurance and queueing theory
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• Some discussions on the local distribution classes
• Asymptotics for the maximum of a modulated random walk with heavy-tailed increments

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