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

DOI10.1239/jap/1158784953zbMath1120.60048OpenAlexW2002920102MaRDI QIDQ5754696

Yue-bao Wang, Kai Yong 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

zbMATH Keywords

asymptoticsrandom walkfirst ascending ladder heightdensity of the supremumheavy-tailed increment

Mathematics Subject Classification ID

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

Related Items (12)

Subexponential densities of infinitely divisible distributions on the half-line ⋮ On directional convolution equivalent densities ⋮ Asymptotics for the moments of the overshoot and undershoot of a random walk ⋮ Estimates for the tail probability of the supremum of a random walk with independent increments ⋮ The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands ⋮ Convolution equivalence and distributions of random sums ⋮ A wide class of heavy-tailed distributions and its applications ⋮ Tail behavior of supremum of a random walk when Cramér's condition fails ⋮ Equivalent conditions of local asymptotics for the solutions of defective renewal equations, with applications ⋮ The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments ⋮ Equivalent conditions of asymptotics for the density of the supremum of a random walk in the Intermediate case ⋮ On the almost decrease of a subexponential density

Cites Work

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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.
• Subexponential distributions and integrated tails

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