Random stopping preserves regular variation of process distributions
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Publication:1247109
DOI10.1214/aop/1176995889zbMath0379.60043OpenAlexW2015831825MaRDI QIDQ1247109
Itrel Monroe, Prescilla E. 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
Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Markov processes (60J99)
Related Items (5)
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 ⋮ An Exact Asymptotics for the Moment of Crossing a Curved Boundary by an Asymptotically Stable Random Walk
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