On Large Jumps of a Cramer Random Walk

DOI10.1137/S0040585X97980129zbMath1069.60030OpenAlexW2009485123MaRDI QIDQ4830829

A. M. Kozlov, Vladimir I. Piterbarg

Publication date: 16 December 2004

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97980129

zbMATH Keywords

large deviationsrandom walkCramér condition

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Large deviations (60F10)

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Extremes of Shepp statistics for Gaussian random walk ⋮ Limiting distribution for the maximal standardized increment of a random walk ⋮ Scan statistics of Lévy noises and marked empirical processes

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