On distribution tail of the maximum of a random walk
type: Item
instance of: scholarly article
title: On distribution tail of the maximum of a random walk
zbMATH Open document ID: 0942.60018
DOI: 10.1016/S0304-4149(97)00060-4
author: Dmitry Korshunov
published in: Stochastic Processes and their Applications
publication date: 2000-03-01T00:00:00Z
review text: The paper discusses the tail distribution behaviour of the maximum of a random walk with negative mean value. The author completes the results known on that subject from the literature. Under some assumptions, he receives equivalent description in three cases: subexponential case, Cramér case and intermediate case.
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 60G50
zbMATH DE Number: 1409152
zbMATH Keywords: maximum of random walk
zbMATH Keywords: large deviations
zbMATH Keywords: subexponential distribution
zbMATH Keywords: Cramér's estimate
reviewed by: Petr Lachout
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1409152