Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments
Probability
2019-07-03 v1
Abstract
We study tail behaviour of the distribution of the area under the positive excursion of a random walk which has negative drift and heavy-tailed increments. We determine the asymptotics for tail probabilities for the area.
Keywords
Cite
@article{arxiv.1907.01280,
title = {Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments},
author = {Denis Denisov and Elena Perfilev and Vitali Wachtel},
journal= {arXiv preprint arXiv:1907.01280},
year = {2019}
}
Comments
19 pages