Second Order Approximation for the Distribution of the Maximum of a Random Walk with Negative Drift and Infinite Variance

DOI10.1137/S0040585X97986898zbMath1333.60039OpenAlexW1978505982MaRDI QIDQ5252470

Aleksandr A. Borovkov

Publication date: 2 June 2015

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97986898

zbMATH Keywords

regular variationlarge deviationsrandom walksecond-order approximationmaximacompound renewal processes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Large deviations (60F10) Renewal theory (60K05)

Related Items (1)

Boundary crossing problems for compound renewal processes

Cites Work

• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• Probability theory. Edited by K. A. Borovkov. Transl. from the Russian by O. Borovkova and P. S. Ruzankin
• Asymptotic Analysis of Random Walks
• Insurance with borrowing: first- and second-order approximations
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