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JOURNALS // Sibirskii Matematicheskii Zhurnal // Archive

Sibirsk. Mat. Zh., 2006 Volume 47, Number 6, Pages 1296–1302 (Mi smj935)

This article is cited in 11 papers

On the distribution density of the supremum of a random walk in the subexponential case

D. A. Korshunov

Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences

Abstract: We consider a random walk $\{S_n\}$ with negative drift and heavy-tailed jumps. We study the asymptotic behavior at infinity of the distribution density of the supremum $\sup\limits_n S_n$.

Keywords: random walk, subexponential distribution, tail asymptotics, local asymptotics.

UDC: 519.21

Received: 01.08.2005


 English version:
Siberian Mathematical Journal, 2006, 47:6, 1060–1065

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