Tail asymptotics of random sum and maximum of log-normal risks
نویسندگان
چکیده
منابع مشابه
Tail Asymptotics for the Maximum of Perturbed Random Walk
Stanford University Consider a random walk S = (Sn : n ≥ 0) that is “perturbed” by a stationary sequence (ξn : n ≥ 0) to produce the process (Sn + ξn : n ≥ 0). This paper is concerned with computing the distribution of the all-time maximum M∞ = max{Sk + ξk : k ≥ 0} of perturbed random walk with a negative drift. Such a maximum arises in several different applications settings, including product...
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2014
ISSN: 0167-7152
DOI: 10.1016/j.spl.2014.01.018