Estimates for the Tail Probability of the Supremum of a Random Walk with Independent Increments

被引:0
作者
Yang YANG Kaiyong WANG School of Mathematics and StatisticsNanjing Audit UniversityNanjing China Department of Information and Computational ScienceSchool of Mathematics and PhysicsSuzhou University of Science and TechnologySuzhou JiangsuChina [1 ,21 ,210029 ,2 ,215009 ]
机构
关键词
Random walk; O-Subexponential distribution; Integrated distribution; Supremum;
D O I
暂无
中图分类号
O211.3 [分布理论];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
The authors investigate the tail probability of the supremum of a random walk with independent increments and obtain some equivalent assertions in the case that the increments are independent and identically distributed random variables with Osubexponential integrated distributions.A uniform upper bound is derived for the distribution of the supremum of a random walk with independent but non-identically distributed increments,whose tail distributions are dominated by a common tail distribution with an O-subexponential integrated distribution.
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页码:847 / 856
页数:10
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