Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments

DOI10.1017/JPR.2020.85zbMath1476.60081arXiv1907.01280OpenAlexW3133695630MaRDI QIDQ4964791

Denis Denisov, Vitali Wachtel, Elena Perfilev

Publication date: 3 March 2021

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

Full work available at URL: https://arxiv.org/abs/1907.01280

zbMATH Keywords

heavy-tailed distributionrandom walksubexponential distributionintegrated random walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Functional limit theorems; invariance principles (60F17)

Related Items (1)

Asymptotic results for certain first-passage times and areas of renewal processes

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