Renewal theorems and stability for the reflected process
type: Item
instance of: scholarly article
title: Renewal theorems and stability for the reflected process
zbMATH Open document ID: 1163.60308
author: Ross A. Maller
author: Ronald A. Doney
author: Mladen Savov
published in: Stochastic Processes and their Applications
publication date: 2009-05-06T00:00:00Z
review text: Renewal-like results and stability theorems on the large-time behavior of a random walk reflected in its maximum, concerning exit time and exit position, are obtained.
Mathematics Subject Classification ID: 60F15
Mathematics Subject Classification ID: 60K05
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60G42
Mathematics Subject Classification ID: 60G50
zbMATH DE Number: 5551381
zbMATH Keywords: reflected process
zbMATH Keywords: passage times
zbMATH Keywords: renewal theorems
zbMATH Keywords: overshoot
reviewed by: George Stoica
MaRDI profile type: Publication
full work available at URL: j.spa.2008.06.009
OpenAlex ID: W2154746747
cites work: Russian and American put options under exponential phase-type Lévy models.
cites work: On conditioning a random walk to stay nonnegative
cites work: Estimates for overshooting an arbitrary boundary by a random walk and their applications
cites work: Q4040465
cites work: Conditional limit theorems for asymptotically stable random walks
cites work: Random walks crossing curved boundaries: A functional limit theorem, stability and asymptotic distributions for exit times and positions
cites work: Stability of the overshoot for Lévy processes
cites work: Passage times of random walks and Lévy processes across power law boundaries
cites work: Cramér's estimate for a reflected Lévy process
cites work: Curve crossing for random walks reflected at their maximum
cites work: Heavy tails in multi-server queue
cites work: On the rate of growth of the overshoot and the maximum partial sum
cites work: On Compactness Properties of the Exit Position of a Random Walk From an Interval
cites work: On the position of a random walk at the time of first exit from a sphere
cites work: Gambler's ruin and the first exit position of random walk from large spheres
cites work: \(L^ p\)-boundedness of the overshoot in multidimensional renewal theory
cites work: The maximum of a random walk reflected at a general barrier
cites work: Characterization of large price variations in financial markets
cites work: Infinite limits and infinite limit points of random walks and trimmed sums
cites work: Divergence of a random walk through deterministic and random subsequences
cites work: Stability and other limit laws for exit times of random walks from a strip or a halfplane
cites work: Which i.i.d. sums are recurrently dominated by their maximal terms?
cites work: Conditional limit theorems for spectrally positive Lévy processes
cites work: The key renewal theorem for a transient Markov chain
cites work: Q3412812
cites work: On the maximum drawdown of a Brownian motion
cites work: Q4662396
cites work: The growth of random walks and Levy processes
cites work: The Russian option: Reduced regret
cites work: Q5691555
cites work: Q5731217
DOI: 10.1016/J.SPA.2008.06.009
description: scientific article; zbMATH DE number 5551381