The maximum on a random time interval of a random walk with long-tailed increments and negative drift

Annals of Applied Probability

Volumn 13, Issue 1, 2003, Pages 37-53

  Foss, Serguei ^a   Zachary, Stan ^a  

^a HERIOT WATT UNIVERSITY   (United Kingdom)

Author keywords

Long tailed distribution; Ruin probability; Subexponential distribution

Indexed keywords

EID: 0037279540     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1042765662     Document Type: Article

References (15)

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