Teoriya Veroyatnostei i ee Primeneniya
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Teor. Veroyatnost. i Primenen.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Teoriya Veroyatnostei i ee Primeneniya, 2022, Volume 67, Issue 2, Pages 365–383
DOI: https://doi.org/10.4213/tvp5430 (Mi tvp5430) 		 
Local tail asymptotics for the joint distribution of the length and of the maximum of a random walk excursion

E. Perfileva, V. Wañhtelb

a Institut für Mathematik, Universität Augsburg, Augsburg, Germany
b Fakultät für Mathematik, Universität Bielefeld, Bielefeld, Germany
Full-text PDF (381 kB)
References:
PDF
HTML
DOI: https://doi.org/10.4213/tvp5430
Abstract: This note is devoted to the study of the maximum of the excursion of a random walk with negative drift and light-tailed increments. More precisely, we determine the local asymptotics of the joint distribution of the length, the maximum, and the time at which this maximum is achieved. This result allows one to obtain a local central limit theorem for the length of the excursion conditioned on large values of the maximum.
Keywords: random walk, excursion, Cramér–Lundberg, exponential change of measure.
Received: 16.08.2020
Revised: 12.01.2022
Accepted: 17.01.2022
English version:
Theory of Probability and its Applications, 2022, Volume 67, Issue 2, Pages 294–309
DOI: https://doi.org/10.1137/S0040585X97T990939
Bibliographic databases:
Document Type: Article
Language: English
Citation: E. Perfilev, V. Wañhtel, “Local tail asymptotics for the joint distribution of the length and of the maximum of a random walk excursion”, Teor. Veroyatnost. i Primenen., 67:2 (2022), 365–383; Theory Probab. Appl., 67:2 (2022), 294–309
Citation in format AMSBIB
\Bibitem{PerWac22}
\by E.~Perfilev, V.~Wañhtel
\paper Local tail asymptotics for the joint distribution of the length and of the maximum of a~random walk excursion
\jour Teor. Veroyatnost. i Primenen.
\yr 2022
\vol 67
\issue 2
\pages 365--383
\mathnet{http://mi.mathnet.ru/tvp5430}
\crossref{https://doi.org/10.4213/tvp5430}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=4466435}
\zmath{https://zbmath.org/?q=an:7573886}
\transl
\jour Theory Probab. Appl.
\yr 2022
\vol 67
\issue 2
\pages 294--309
\crossref{https://doi.org/10.1137/S0040585X97T990939}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85165243858}
Linking options:
  • https://www.mathnet.ru/eng/tvp5430
  • https://doi.org/10.4213/tvp5430
  • https://www.mathnet.ru/eng/tvp/v67/i2/p365
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Òåîðèÿ âåðîÿòíîñòåé è åå ïðèìåíåíèÿ Theory of Probability and its Applications
    Statistics & downloads:
    Abstract page:126
    Full-text PDF :13
    References:18
    First page:10
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024