Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities
Work
Year: 1998
Type: article
Abstract: Consider a reflected random walk $W_{n+1} = (W_n + X_n)^+$, where $X_0, X_1,\dots$ are i.i.d. with negative mean and subexponential with common distribution F. It is shown that the probability that th... more
Author Søren Asmussen
Institution Institute of Mathematical Statistics
Cites: 34
Cited by: 197
Related to: 10
FWCI: 6.182
Citation percentile (by year/subfield): 99.97
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze