Asymptotics for Random Walks with Dependent Heavy-Tailed Increments

被引：0
|
作者：
D. A. Korshunov
S. Schlegel
V. Schmidt
机构：
[1] Sobolev Institute of Mathematics,
[2] University of Ulm,undefined
来源：
Siberian Mathematical Journal | 2003年 / 44卷
关键词：
random walk; dependent increment; heavy tails; subexponential distribution; tail asymptotics;
D O I：
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中图分类号：
学科分类号：
摘要：
We consider a random walk {Sn} with dependent heavy-tailed increments and negative drift. We study the asymptotics for the tail probability P{supnSn>x} as x→∞. If the increments of {Sn} are independent then the exact asymptotic behavior of P{supnSn>x} is well known. We investigate the case in which the increments are given as a one-sided asymptotically stationary linear process. The tail behavior of supnSn turns out to depend heavily on the coefficients of this linear process.
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页码：833 / 844
页数：11
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