Martingale approach to subexponential asymptotics for random walks

DOI10.1214/ECP.v17-1757zbMath1246.60078arXiv1111.6810MaRDI QIDQ428730

Vitali Wachtel, Denis Denisov

Publication date: 22 June 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.6810

zbMATH Keywords

stopping time; heavy-tailed distribution; random walk; supremum; cycle maximum

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

60G50: Sums of independent random variables; random walks

60K25: Queueing theory (aspects of probability theory)

60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)

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