Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue

From MaRDI portal
Publication:3966885

DOI10.2307/1426737zbMath0501.60076OpenAlexW4241057215MaRDI QIDQ3966885

Soren Asmussen

Publication date: 1982

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

Full work available at URL: https://doi.org/10.2307/1426737




Related Items (37)

Central limit theorems of partial sums for large segmental valuesImportance sampling for Jackson networksStability of the exit time for Lévy processesOn representations and simulation of conditioned random walks on integer latticesLarge deviation analysis of the single server queueLarge excursions and conditioned laws for recursive sequences generated by random matricesCounterexamples in importance sampling for large deviations probabilitiesLarge deviations results for subexponential tails, with applications to insurance riskLocal Tail Asymptotics for the Joint Distribution of the Length and of the Maximum of a Random Walk ExcursionCorrected normal approximation for the probability of ruin within finite timeRefined behaviour of a conditioned random walk in the large deviations regimeOn the dynamics of a finite buffer queue conditioned on the amount of lossEfficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walksHow large delays build up in a GI/G/1 queuePath decomposition of ruinous behavior for a general Lévy insurance risk processConditional law of risk processes given that ruin occursStructural properties of conditioned random walks on integer lattices with random local constraintsTail behaviour and extremes of two-state Markov-switching autoregressive modelsDynamic importance sampling for queueing networksConditional limit theorems for queues with Gaussian input, a weak convergence approachOn the limit law of a random walk conditioned to reach a high levelRuin probabilities and overshoots for general Lévy insurance risk processesCramér's estimate for a reflected Lévy processOn the Distribution of the Surplus Prior and at RuinDiffusions conditioned on occupation measuresApproximations and upper bounds on probabilities of large deviations in the problem of ruin within finite timeA reduced-peak equivalence for queues with a mixture of light-tailed and heavy-tailed input flowsExponential Behavior in the Presence of Dependence in Risk TheoryEquilibrium properties of the M/G/1 queueOn the large deviations behavior of acyclic networks of \(G/G/1\) queuesSubexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilitiesSimple approximations of ruin probabilitiesLarge deviations and fast simulation in the presence of boundaries.Asymptotic independence of three statistics of maximal segmental scoresConjugate processes and the simulation of ruin problemsApproximations for the probability of ruin within finite timeSample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions




This page was built for publication: Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue