The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk

DOI10.1214/105051605000000269zbMath1083.60036arXivmath/0508461OpenAlexW3100589816MaRDI QIDQ2572397

Stan Zachary, Zbigniew Palmowski, Sergeĭ Georgievich Foss

Publication date: 8 November 2005

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

Full work available at URL: https://arxiv.org/abs/math/0508461

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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