The supremum of a negative drift random walk with dependent heavy-tailed steps.
type: Item
instance of: scholarly article
title: The supremum of a negative drift random walk with dependent heavy-tailed steps.
zbMATH Open document ID: 1083.60506
author: T. Mikosch
author: Gennady Samorodnitsky
published in: The Annals of Applied Probability
publication date: 2003-05-06T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.aoap/1019487517
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 60K30
zbMATH DE Number: 1906281
zbMATH Keywords: stationary process
zbMATH Keywords: ruin probability
zbMATH Keywords: heavy tails
zbMATH Keywords: large deviations
zbMATH Keywords: random recursion
zbMATH Keywords: stationary queue
zbMATH Keywords: risk
MaRDI profile type: Publication
OpenAlex ID: W1989516515
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DOI: 10.1214/AOAP/1019487517
description: scientific article; zbMATH DE number 1906281