Asymptotics of the density of the supremum of a random walk with heavy-tailed increments

被引：13

作者：

Wang, Yuebao ^{[1
]}

Wang, Kaiyong

机构：

[1] Soochow Univ, Dept Math, Suzhou 215006, Peoples R China

[2] Univ Sci & Technol, Dept Appl Math, Suzhou 215009, Peoples R China

来源：

JOURNAL OF APPLIED PROBABILITY | 2006年 / 43卷 / 03期

关键词：

random walk; heavy-tailed increment; first ascending ladder height; density of the supremum; asymptotics;

D O I：

10.1239/jap/1158784953

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Under some relaxed conditions, in this paper we obtain some equivalent conditions on the asymptotics of the density of the supremum of a random walk with heavy-tailed increments. To do this, we investigate the asymptotics of the first ascending ladder height of a random walk with heavy-tailed increments. The results obtained improve and extend the corresponding classical results.

引用

页码：874 / 879

页数：6

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