Asymptotics for Random Walks with Dependent Heavy-Tailed Increments View Full Text


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Article Info

DATE

2003-09

AUTHORS

D. A. Korshunov, S. Schlegel, V. Schmidt

ABSTRACT

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. More... »

PAGES

833-844

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1023/a:1025940920770

DOI

http://dx.doi.org/10.1023/a:1025940920770

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1025653979


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