The exponential rate of convergence of the distribution of the maximum of a random walk. Part II

DOI10.2307/3212528zbMATH Open0353.60072OpenAlexW3124781256MaRDI QIDQ4124068FDOQ4124068

Authors: Noël Veraverbeke, J. L. Teugels 

Publication date: 1976

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

Full work available at URL: https://doi.org/10.2307/3212528

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Limit theorems in probability theory (60F99)

Cited In (5)

• Exponential Behavior in the Presence of Dependence in Risk Theory
• Maximum likelihood estimation of a change-point for exponentially distributed random variables.
• Approximations for the probability of ruin within finite time
• Analytical best upper bounds on stop-loss premiums
• Computable exponential convergence rates for stochastically ordered Markov processes

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