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Sibirskii Matematicheskii Zhurnal, 2006, Volume 47, Number 6, Pages 1296–1302 (Mi smj935)  
This article is cited in 11 scientific papers (total in 11 papers)

On the distribution density of the supremum of a random walk in the subexponential case

D. A. Korshunov

Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
Full-text PDF (187 kB) Citations (11)
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Abstract: We consider a random walk $\{S_n\}$ with negative drift and heavy-tailed jumps. We study the asymptotic behavior at infinity of the distribution density of the supremum $\sup\limits_n S_n$.
Keywords: random walk, subexponential distribution, tail asymptotics, local asymptotics.
Received: 01.08.2005
English version:
Siberian Mathematical Journal, 2006, Volume 47, Issue 6, Pages 1060–1065
DOI: https://doi.org/10.1007/s11202-006-0115-5
Bibliographic databases:
UDC: 519.21
Language: Russian
Citation: D. A. Korshunov, “On the distribution density of the supremum of a random walk in the subexponential case”, Sibirsk. Mat. Zh., 47:6 (2006), 1296–1302; Siberian Math. J., 47:6 (2006), 1060–1065
Citation in format AMSBIB
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    • This publication is cited in the following 11 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Сибирский математический журнал Siberian Mathematical Journal
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