pith. sign in

arxiv: math/0508461 · v1 · pith:AR7YLKBJnew · submitted 2005-08-24 · 🧮 math.PR

The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk

classification 🧮 math.PR
keywords randomboundaryheavy-tailedhighintervalprobabilitystoppingtime
0
0 comments X
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.