Moments of the first descending epoch for a random walk with negative drift

DOI10.1016/J.SPL.2022.109547zbMath1498.60167arXiv2108.08267OpenAlexW4281622745MaRDI QIDQ2170225

Timofeĭ Vycheslavovich Prasolov, Sergeĭ Georgievich Foss

Publication date: 30 August 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.08267

zbMATH Keywords

random walkheavy tailexistence of momentsnegative driftdescending ladder epoch

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Unnamed Item
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• On the existence of a regularly varying majorant of an integrable monotone function
• An Introduction to Heavy-Tailed and Subexponential Distributions
• Stopped Random Walks
• Some Renewal Theorems with Application to a First Passage Problem

This page was built for publication: Moments of the first descending epoch for a random walk with negative drift