具有重尾增量的随机游走越出下面积的尾渐近性
概率论
2019-07-03 v1
摘要
我们研究了具有负漂移和重尾增量的随机游走的正越出下面积分布的尾行为。我们确定了该面积尾概率的渐近性。
引用
@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}
}
备注
19 pages