The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments

DOI10.1080/15326340903088859zbMath1172.60013OpenAlexW1997278838MaRDI QIDQ3396379

Guochun Chen, Fengyang Cheng, Yue-bao Wang

Publication date: 18 September 2009

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

Full work available at URL: https://doi.org/10.1080/15326340903088859

zbMATH Keywords

random walkovershootuniform local asymptoticslocal subexponential classes

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05) Renewal theory (60K05)

Related Items (9)

Asymptotics for the moments of the overshoot and undershoot of a random walk ⋮ Random walks with non-convolution equivalent increments and their applications ⋮ Some discussions on the local distribution classes ⋮ Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments ⋮ THE SUBEXPONENTIAL PRODUCT CONVOLUTION OF TWO WEIBULL-TYPE DISTRIBUTIONS ⋮ Tail behavior of supremum of a random walk when Cramér's condition fails ⋮ The closure of the convolution equivalent distribution class under convolution roots with applications to random sums ⋮ The uniform local asymptotics for a Lévy process and its overshoot and undershoot ⋮ On the almost decrease of a subexponential density

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