Article ID Journal Published Year Pages File Type
1151826 Statistics & Probability Letters 2013 9 Pages PDF
Abstract
Let {Sn:n≥0} be a random walk with negative drift and τ(x) be the first time when the random walk crosses a given level x≥0. This paper focuses on random walks with non-convolution equivalent increments. For this random walk, the uniform asymptotics of P(Sτ(x)−x>y,τ(x)<∞), as x→∞, have been presented.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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