Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments

被引：1

作者：

Denisov, Denis ^{[1
]}

Perfilev, Elena ^{[2
]}

Wachtel, Vitali ^{[2
]}

机构：

[1] Univ Manchester, Dept Math, Oxford Rd, Manchester M13 9PL, Lancs, England

[2] Univ Augsburg, Inst Math, D-86135 Augsburg, Germany

来源：

JOURNAL OF APPLIED PROBABILITY | 2021年 / 58卷 / 01期

关键词：

Random walk; subexponential distribution; heavy-tailed distribution; integrated random walk;

D O I：

10.1017/jpr.2020.85

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：

We study the tail behaviour of the distribution of the area under the positive excursion of a random walk which has negative drift and heavy-tailed increments. We determine the asymptotics for tail probabilities for the area.

引用

页码：217 / 237

页数：21

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