کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1157028 958916 2007 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments
چکیده انگلیسی

Let FF 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 FF. The expansion is based on an expansion for the right Wiener–Hopf factor which we derive first. An application to ruin probabilities is developed.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 117, Issue 12, December 2007, Pages 1835–1847
نویسندگان
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