Tail Probability of the Supremum of a Random Walk with Stable Steps and a Nonlinear Negative Drift

DOI10.1080/15326349.2013.810444zbMath1281.60046OpenAlexW2085232650MaRDI QIDQ2854351

Uğur Tuncay Alparslan

Publication date: 18 October 2013

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2013.810444

zbMATH Keywords

stationaryheavy tailsruin probabilitystable processesergodiccatastrophic risk

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stable stochastic processes (60G52)

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