Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments
Ph . Barbe, W. P. McCormick, C. Zhang
Abstract
Let F be a distribution function with negative mean and regularly varying right tail. Under a mild smoothness condition we derive higher order asymptotic expansions for the tail distribution of the maxima of the random walk generated by F. An application to ruin probabilities is developed.
Create a lesson
Related papers
Almost sure exponential stability of multi-dimensional stochastic systems driven by a symmetric α-stable process
Xuekang Zhang, Hongjian Liu, Guangjun Shen
The Arc Threshold of the Two-Row Ising Torus: Exact Factorization, an Algebraic Critical Coupling, Uniformity in the Circumference, and the Rate of Convergence
Marco Mandap
Markovian Lifts and Multifactor Approximations for Weighted Sub-fractional Brownian Motion
J. H. Ramirez-Gonzalez, Edison Cuba
Rényi mixing bounds for kinetic samplers via L2 hypocoercivity
Jianfeng Lu, Yinchen Luo
Bayesian Filters via the Stochastic Category
Kenichi Bannai, Masahiro Kurisaki
Synchronization of Enriched Spin Glasses
Franziska Engler, Justin Ko