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Matematicheskie Zametki, 1977, Volume 22, Issue 5, Pages 763–770 (Mi mzm8098)  

Distribution of the supremum of sums of independent variables with negative drift

M. S. Sgibnev

Institute of Mathematics, Siberian Branch of USSR Academy of Sciences
Abstract: Let $\{\xi_n\}$ be a sequence of identically distributed independent random variables, $M\xi_1=\mu<0$, $M\xi_1^2<\infty$; $S_0=0$, $S_n=\xi_1+\xi_2+\dots+=xi_n$, $n\ge1$; $\overline S=\sup\{S_n:n\ge0\}$. The asymptotic behavior of $P(\overline S\ge t)$ as $t\to\infty$ is studied. If $\int_t^\infty P(\xi_1\ge x)\,dx=O(\tau(t))$, then
$$ P(\overline S\ge t)-\frac1{|\mu|}\int_t^\infty P(\xi_1\ge x)\,dx=O(\tau(t)/t), $$
$\tau(t)$ is a positive function, having regular behavior at infinity.
Received: 14.01.1977
English version:
Mathematical Notes, 1977, Volume 22, Issue 5, Pages 916–920
DOI: https://doi.org/10.1007/BF01098358
Bibliographic databases:
UDC: 519.2
Language: Russian
Citation: M. S. Sgibnev, “Distribution of the supremum of sums of independent variables with negative drift”, Mat. Zametki, 22:5 (1977), 763–770; Math. Notes, 22:5 (1977), 916–920
Citation in format AMSBIB
\Bibitem{Sgi77}
\by M.~S.~Sgibnev
\paper Distribution of the supremum of sums of independent variables with negative drift
\jour Mat. Zametki
\yr 1977
\vol 22
\issue 5
\pages 763--770
\mathnet{http://mi.mathnet.ru/mzm8098}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=467931}
\zmath{https://zbmath.org/?q=an:0373.60061}
\transl
\jour Math. Notes
\yr 1977
\vol 22
\issue 5
\pages 916--920
\crossref{https://doi.org/10.1007/BF01098358}
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