Asymptotics of the density of the supremum of a random walk with heavy-tailed increments

DOI10.1239/JAP/1158784953zbMATH Open1120.60048OpenAlexW2002920102MaRDI QIDQ5754696FDOQ5754696

Authors: Yuebao Wang, Kaiyong Wang 

Publication date: 23 August 2007

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

Full work available at URL: https://doi.org/10.1239/jap/1158784953

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• scientific article; zbMATH DE number 2039008

zbMATH Keywords

asymptoticsrandom walkfirst ascending ladder heightdensity of the supremumheavy-tailed increment

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Limit theorems in probability theory (60F99)

Cites Work

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• Subexponential distributions and integrated tails
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• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• Asymptotics for sums of random variables with local subexponential behaviour
• A local limit theorem for random walk maxima with heavy tails
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.

Cited In (22)

• Equivalent conditions of local asymptotics for the overshoot of a random walk with heavy-tailed increments
• Subexponential densities of infinitely divisible distributions on the half-line
• Convolution equivalence and distributions of random sums
• Estimates for the tail probability of the supremum of a random walk with independent increments
• Tail behavior of supremum of a random walk when Cramér's condition fails
• Approximation of the distribution of the supremum of a centered random walk. Application to the local score
• On directional convolution equivalent densities
• On the almost decrease of a subexponential density
• Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments
• A wide class of heavy-tailed distributions and its applications
• Equivalent conditions of local asymptotics for the solutions of defective renewal equations, with applications
• Equivalent conditions of asymptotics for the density of the supremum of a random walk in the Intermediate case
• Supremum asymptotics for random walk with switching
• Penalisation of the symmetric random walk by several functions of the supremum
• The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments
• The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
• Asymptotics for the density of the supremum of a certain kind of random walks
• A converse proposition about a heavy-tailed random walk
• On local asymptotics for a heavy-tailed random walk maximum with applications in insurance and queueing theory
• Title not available (Why is that?)
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• Asymptotics for the maximum of a modulated random walk with heavy-tailed increments

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