The supremum of a negative drift random walk with dependent heavy-tailed steps

Annals of Applied Probability

Volumn 10, Issue 3, 2000, Pages 1025-1064

  Mikosch, Thomas ^a   Samorodnitsky, Gennady ^b  

^a UNIVERSITY OF GRONINGEN   (Netherlands)

^b School of Chemical and Molecular Engineering   (United States)

Author keywords

Heavy tails; Large deviations; Random recursion; Random walk; Risk; Ruin probability; Stationary process; Stationary queue

Indexed keywords

EID: 0034346729     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1019487517     Document Type: Article

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