Tail behaviour of ladder-height distributions in random walks
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Publication:3694379
DOI10.2307/3213873zbMath0574.60075OpenAlexW2319488358MaRDI QIDQ3694379
Publication date: 1985
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3213873
Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05)
Related Items (5)
On the joint distribution of ladder variables of random walk ⋮ A note on the distance of ladder height distributions ⋮ Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments ⋮ On calculation of moments of ladder heights ⋮ Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions
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