Martingale approach to subexponential asymptotics for random walks

DOI10.1214/ECP.V17-1757zbMath1246.60078arXiv1111.6810OpenAlexW1992406266MaRDI QIDQ428730

Vitali Wachtel, Denis Denisov

Publication date: 22 June 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.6810

zbMATH Keywords

stopping timeheavy-tailed distributionrandom walksupremumcycle maximum

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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