The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
classification
🧮 math.PR
keywords
randomboundaryheavy-tailedhighintervalprobabilitystoppingtime
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.