The overshoot of a random walk with negative drift
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Publication:871033
DOI10.1016/J.SPL.2006.06.005zbMath1108.60042OpenAlexW2064306940MaRDI QIDQ871033
Publication date: 15 March 2007
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2006.06.005
asymptoticsuniformitytail probabilitiesladder heightthe class \({\mathcal S}(\gamma)\)Wiener-Hopf type factorization
Related Items (13)
Asymptotics for the moments of the overshoot and undershoot of a random walk ⋮ On the Maximum Exceedance of a Sequence of Random Variables Over a Renewal Threshold ⋮ Random walks with non-convolution equivalent increments and their applications ⋮ Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments ⋮ On asymptotics of deficit distribution and its moments at the time of ruin ⋮ On a closure property of convolution equivalent class of distributions ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ Convolution equivalence and distributions of random sums ⋮ The Uniform Asymptotics of the Overshoot of a Random Walk with Light-Tailed Increments ⋮ The uniform local asymptotics for a Lévy process and its overshoot and undershoot ⋮ Randomly stopped minima and maxima with exponential-type distributions ⋮ The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments ⋮ Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation
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- On the Constant in the Definition of Subexponential Distributions
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- Convolution equivalence and infinite divisibility
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