Some asymptotic results for transient random walks

From MaRDI portal
Publication:4877466

DOI10.2307/1427918zbMath0854.60069OpenAlexW2317518721MaRDI QIDQ4877466

Jean Bertoin, Ronald Arthur Doney

Publication date: 13 January 1997

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

Full work available at URL: https://doi.org/10.2307/1427918




Related Items (45)

Asymptotics of convolution with the semi-regular-variation tail and its application to riskCramér's estimate for the reflected process revisitedFunctionals of infinitely divisible stochastic processes with exponential tailsOn the closure under infinitely divisible distribution rootsMarkov Chains Conditioned Never to Wait Too Long at the OriginQuasi-stationary distributions for Lévy processesThe first passage time problem over a moving boundary for asymptotically stable Lévy processesAsymptotics for the moments of the overshoot and undershoot of a random walkRandom walks with non-convolution equivalent increments and their applicationsDiscrete time ruin probability with Parisian delaySome discussions on the local distribution classesEstimates for the overshoot of a random walk with negative drift and non-convolution equivalent incrementsLocal subexponentiality and self-decomposabilityExponentiality of first passage times of continuous time Markov chainsEstimates for the tail probability of the supremum of a random walk with independent incrementsStrong transience for one-dimensional Markov chains with asymptotically zero driftsThe local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summandsSome properties of the exponential distribution class with applications to risk theorySpeed of convergence to the quasi-stationary distribution for Lévy input fluid queuesOn distribution tail of the maximum of a random walkApplications of factorization embeddings for Lévy processesTail Asymptotics for a Random Sign Lindley RecursionOn the exact asymptotics for the stationary sojourn time distribution in a tandem of queues with light-tailed service timesTransition phenomena for ladder epochs of random walks with small negative driftConvolution equivalence and distributions of random sumsYaglom limit for stable processes in conesAsymptotics for the First Passage Times of Lévy Processes and Random WalksThe Uniform Asymptotics of the Overshoot of a Random Walk with Light-Tailed IncrementsTail behavior of supremum of a random walk when Cramér's condition failsExact asymptotic behaviour of the distribution of the supremumOn the limit law of a random walk conditioned to reach a high levelA Lévy input model with additional state-dependent servicesRuin probabilities and overshoots for general Lévy insurance risk processesThe closure of the convolution equivalent distribution class under convolution roots with applications to random sumsLarge deviations of sojourn times in processor sharing queuesOn the exact asymptotic behaviour of the distribution of the supremum in the ``critical caseTail Asymptotics of the Supremum of a Regenerative ProcessSome new equivalent conditions on asymptotics and local asymptotics for random sums and their applicationsRuin probability and local ruin probability in the random multi-delayed renewal risk modelMaximum on a random time interval of a random walk with infinite meanSuprema and sojourn times of Lévy processes with exponential tailsSome positive conclusions related to the Embrechts-Goldie conjectureA lifetime of excursions through random walks and Lévy processesOn the Asymptotics of the Ruin ProbabilityEmbrechts-Goldie's problem on the class of lattice convolution equivalent distributions




This page was built for publication: Some asymptotic results for transient random walks