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Asymptotics of the density of the supremum of a random walk with heavy-tailed increments
| Content Provider | Scilit |
|---|---|
| Author | Wang, Yuebao Wang, Kaiyong |
| Copyright Year | 2006 |
| Description | Under some relaxed conditions, in this paper we obtain some equivalent conditions on the asymptotics of the density of the supremum of a random walk with heavy-tailed increments. To do this, we investigate the asymptotics of the first ascending ladder height of a random walk with heavy-tailed increments. The results obtained improve and extend the corresponding classical results. |
| Related Links | https://www.cambridge.org/core/services/aop-cambridge-core/content/view/F73ADA042AD86A0ED759390700990C99/S0021900200002175a.pdf/div-class-title-asymptotics-of-the-density-of-the-supremum-of-a-random-walk-with-heavy-tailed-increments-div.pdf |
| Ending Page | 879 |
| Page Count | 6 |
| Starting Page | 874 |
| ISSN | 00219002 |
| e-ISSN | 14756072 |
| DOI | 10.1017/s0021900200002175 |
| Journal | Journal of applied probability |
| Issue Number | 03 |
| Volume Number | 43 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2006-09-01 |
| Access Restriction | Open |
| Subject Keyword | Journal of applied probability Applied Mathematics Random Walk tailed Increment First Ascending Ladder Height Density of the Supremum |
| Content Type | Text |
| Resource Type | Article |
| Subject | Statistics and Probability Statistics, Probability and Uncertainty |
