The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process: the Cramér case

DOI10.1007/978-3-030-04161-8_20zbMath1422.60078arXiv1802.06577OpenAlexW2788886405MaRDI QIDQ2001231

Zbigniew Palmowski, Konstantin A. Borovkov

Publication date: 2 July 2019

Full work available at URL: https://arxiv.org/abs/1802.06577

zbMATH Keywords

multivariate Lévy processmultivariate random walks

Mathematics Subject Classification ID

Related Items (3)

Pandemic-type failures in multivariate Brownian risk models ⋮ Extremes of vector-valued Gaussian processes ⋮ Simultaneous ruin probability for two-dimensional brownian risk model

Cites Work

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• The second rate function and the asymptotic problems of renewal and hitting the boundary for multidimensional random walks
• Probability theory. Edited by K. A. Borovkov. Transl. from the Russian by O. Borovkova and P. S. Ruzankin
• Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
• The exact asymptotics of the large deviation probabilities in the multivariate boundary crossing problem

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