The exponential rate of convergence of the distribution of the maximum of a random walk. Part II

DOI10.2307/3212528zbMath0353.60072OpenAlexW3124781256MaRDI QIDQ4124068

Noël Veraverbeke, Jozef L. Teugels

Publication date: 1976

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

Full work available at URL: https://doi.org/10.2307/3212528

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Limit theorems in probability theory (60F99)

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Computable exponential convergence rates for stochastically ordered Markov processes ⋮ Maximum likelihood estimation of a change-point for exponentially distributed random variables. ⋮ Exponential Behavior in the Presence of Dependence in Risk Theory ⋮ Analytical best upper bounds on stop-loss premiums ⋮ Approximations for the probability of ruin within finite time

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