Asymptotics for the maximum of a modulated random walk with heavy-tailed increments

zbMath1021.60054arXiv1303.4440MaRDI QIDQ4406368

Stan Zachary, Sergeĭ Georgievich Foss

Publication date: 25 August 2003

Full work available at URL: https://arxiv.org/abs/1303.4440

zbMATH Keywords

random walkheavy-tailed increment distribution of the maximummodulated random walk

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (7)

Ruin probabilities for risk process in a regime-switching environment ⋮ Discrete and continuous time modulated random walks with heavy-tailed increments ⋮ Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type ⋮ Applications of factorization embeddings for Lévy processes ⋮ On Exceedance Times for Some Processes with Dependent Increments ⋮ The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails ⋮ Tail Asymptotics of the Supremum of a Regenerative Process

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