Limits of first passage times to rare sets in regenerative processes

DOI10.1214/aoap/1177004772zbMath0830.60021OpenAlexW1981628393MaRDI QIDQ1901082

S. G. Kou, Paul Glasserman

Publication date: 15 January 1996

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177004772

zbMATH Keywords

rare eventsextreme valuesfirst passage timeslaw of the iterated logarithmlimit theoremsregenerative processes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Strong limit theorems (60F15) Zero-one laws (60F20)

Related Items (12)

On the maximum workload of a queue fed by fractional Brownian motion. ⋮ Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions ⋮ Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion ⋮ Approximation of bounds on mixed-level orthogonal arrays ⋮ Time to Reach Buffer Capacity in aBMAPQueue ⋮ Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift ⋮ Lévy Processes with Two-Sided Reflection ⋮ Asymptotic behavior of maxima of independent random variables. Discrete case ⋮ The laws of iterated and triple logarithms for extreme values of regenerative processes ⋮ Estimating tail decay for stationary sequences via extreme values ⋮ Large deviations and fast simulation in the presence of boundaries. ⋮ A Stochastic Representation for Nonlocal Parabolic PDEs with Applications

This page was built for publication: Limits of first passage times to rare sets in regenerative processes