The maximum on a random time interval of a random walk with long-tailed increments and negative drift
Foss, Serguei ; Zachary, Stan
Ann. Appl. Probab., Tome 13 (2003) no. 1, p. 37-53 / Harvested from Project Euclid
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We study the asymptotics for the maximum on a random time interval of a random walk with a long-tailed distribution of its increments and negative drift. We extend to a general stopping time a result by Asmussen, simplify its proof and give some converses.
Publié le : 2003-01-14
Classification:  Ruin probability,  long-tailed distribution,  subexponential distribution,  60G70,  60K30,  60K25 
@article{1042765662,
     author = {Foss, Serguei and Zachary, Stan},
     title = {The maximum on a random time interval of a random walk with long-tailed increments and negative drift},
     journal = {Ann. Appl. Probab.},
     volume = {13},
     number = {1},
     year = {2003},
     pages = { 37-53},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1042765662}
}

Foss, Serguei; Zachary, Stan. The maximum on a random time interval of a random walk with long-tailed increments and negative drift. Ann. Appl. Probab., Tome 13 (2003) no. 1, pp.  37-53. http://gdmltest.u-ga.fr/item/1042765662/