Research articles

search articles

My Pages

Stat

Members: 3645
Articles: 2'501'711
Articles rated: 2609

20 April 2024

» arxiv » math.PR/0508461

Article overview

The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
Serguei Foss ; Zbigniew Palmowski ; Stan Zachary ;
Date:	24 Aug 2005
Journal:	Annals of Applied Probability 2005, Vol. 15, No. 3, 1936-1957 DOI: 10.1214/105051605000000269
Subject:	Probability MSC-class: 60J10 (Primary) 60K25 (Secondary) \| math.PR
Abstract:	We study the asymptotic probability that a random walk with heavy-tailed increments crosses a high boundary on a random time interval. We use new techniques to extend results of Asmussen [Ann. Appl. Probab. 8 (1998) 354-374] to completely general stopping times, uniformity of convergence over all stopping times and a wide class of nonlinear boundaries. We also give some examples and counterexamples.
Source:	arXiv, math.PR/0508461
Services:	Forum \| Review \| PDF \| Favorites

No review found.

Did you like this article?

This article or document is ...
important:
of broad interest:
readable:
new:
correct:
Global appreciation:

Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.

browser Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)

ScienXe.org
» my Online CV
» Free

News, job offers and information for researchers and scientists:

home

contact

sitemap