The exponential rate of convergence of the distribution of the maximum of a random walk

DOI10.2307/3212441zbMath0307.60061OpenAlexW2312366164MaRDI QIDQ4064806

Noël Veraverbeke, Jozef L. Teugels

Publication date: 1975

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

Full work available at URL: https://doi.org/10.2307/3212441

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25)

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Change point detection and estimation methods under gamma series of observations ⋮ Computable exponential convergence rates for stochastically ordered Markov processes ⋮ On Hinkley's estimator: inference about the change point ⋮ Exponential Behavior in the Presence of Dependence in Risk Theory ⋮ Stationary queuing systems with dependencies ⋮ Approximations for the probability of ruin within finite time

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