Gumbel and Fréchet convergence of the maxima of independent random walks
DOI10.1017/apr.2019.57zbMath1453.60075arXiv1904.04607OpenAlexW3021011967MaRDI QIDQ3298818
Publication date: 16 July 2020
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.04607
regular variationlarge deviationextreme value theoryGumbel distributionsubexponential distributionFréchet distributionmaximum random walk
Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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