On the maximum exceedance of a sequence of random variables over a renewal threshold
Xuemiao Ha, Qihe Tang, and Li Wei
Source: J. Appl. Probab. Volume 46, Number 2 (2009), 559-570.
Abstract
In this paper we study the tail behavior of the maximum exceedance of a sequence of independent and identically distributed random variables over a random walk. For both light-tailed and heavy-tailed cases, we derive a precise asymptotic formula, which extends and unifies some existing results in the recent literature of applied probability.
Primary Subjects: 60G50
Secondary Subjects: 60G70
Keywords: Asymptotics; exceedance; random walk; tail probability; the classes ℒ(γ) and 𝓢(γ)
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1245676106
Digital Object Identifier: doi:10.1239/jap/1245676106
Zentralblatt MATH identifier:
05578825
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Journal of Applied Probability
