The maximum on a random time interval of a random walk with long-tailed increments and negative drift
نویسندگان
چکیده
منابع مشابه
The Maximum on a Random Time Interval of a Random Walk with Long-tailed Increments and Negative Drift
Random walks with long-tailed increments have many important applications in insurance, finance, queueing networks, storage processes, and the study of extreme events in nature and elsewhere. See, for example, Embrechts et al. (1997), Asmussen (1998, 1999) and Greiner et al. (1999) for some background. In this paper we study the distribution of the maximum of such a random walk over a random ti...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2003
ISSN: 1050-5164
DOI: 10.1214/aoap/1042765662