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

DOI10.1239/AAP/1175266476MaRDI QIDQ3435397zbMATH OpenOpenAlexFDO

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

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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• Tail asymptotics for the busy period in the \(GI/G/1\) queue.
• Tail asymptotics for the supremum of a random walk when the mean is not finite
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Cited in

(13)

• Local asymptotics of a Markov modulated random walk with heavy-tailed increments
• State-independent importance sampling for random walks with regularly varying increments
• Random walks with non-convolution equivalent increments and their applications
• Large deviations for random walks under subexponentiality: The big-jump domain
• On local asymptotics for a heavy-tailed random walk maximum with applications in insurance and queueing theory
• Asymptotics for the maximum of a modulated random walk with heavy-tailed increments
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• A local limit theorem for random walk maxima with heavy tails
• Some discussions on the local distribution classes
• Maximum on a random time interval of a random walk with infinite mean
• 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

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