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JOURNALS // Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports] // Archive

Sib. Èlektron. Mat. Izv., 2014 Volume 11, Pages 999–1020 (Mi semr546)

Probability theory and mathematical statistics

Supremum asymptotics for random walk with switching

D. K. Kim

Kazakh National Technical University after K. I. Satpaev

Abstract: We consider random walk $X_n, n\geq 0$ with one level of switching $a\leq 0.$ Some theorems on the asymptotics of the supremum distribution $\mathbf{P}\left(\sup\limits_{n} X_n>x\right)$ as $x\to\infty,$ $a\to -\infty$ were obtained in Cramer case.

Keywords: random walk with switching, supremum asymptotics.

UDC: 519.21

MSC: 60G50

Received October 27, 2014, published December 28, 2014



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