Random stopping preserves regular variation of process distributions

DOI10.1214/AOP/1176995889MaRDI QIDQ1247109zbMATH OpenOpenAlexFDO

Authors Itrel Monroe, Priscilla Greenwood

Publication date 1977

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176995889

Mathematics Subject Classification ID

Markov processes (60J99) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited in

(6)

• An exact asymptotics for the moment of crossing a curved boundary by an asymptotically stable random walk
• Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
• On the asymptotic behaviour of first passage times for transient random walk
• Asymptotics of randomly stopped sums in the presence of heavy tails
• Martingale identities and inequalities and their applications in nonlinear boundary-value problems for random processes
• A bivariate stable characterization and domains of attraction

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