On the maximum of sums of random variables and the supremum functional for stable processes
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Publication:5587593
DOI10.2307/3212011zbMath0192.55003OpenAlexW4234309852MaRDI QIDQ5587593
Publication date: 1969
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3212011
Related Items (17)
On the joint distribution of ladder variables of random walk ⋮ Fluctuation theory for Lévy processes with completely monotone jumps ⋮ The first passage time of a stable process conditioned to not overshoot ⋮ Testing for the presence of jump components in jump diffusion models ⋮ Maxima of sums of random variables and suprema of stable processes ⋮ On the exact asymptotic behaviour of the distribution of ladder epochs ⋮ Maximum of cumulative sums for the Cauchy distribution ⋮ The law of the supremum of a stable Lévy process with no negative jumps ⋮ Unnamed Item ⋮ Bounds for the solution to the single-period inventory model with compound renewal process input: an application to setting credit card limits ⋮ On extrema of stable processes ⋮ Estimates for the distribution of sums and maxima of sums of random variables without the Cramér condition ⋮ Inversion of the space and time of stable Lévy processes ⋮ Nonparametric estimation of jump diffusion models ⋮ Stable processes: Sample function growth at a local minimum ⋮ Homogeneous models and generic extensions ⋮ A class of limit distributions for maximum cumulative sum
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