|
|
| |
| Estimates for the Tail Probability of the Supremum of a Random Walk with Independent Increments |
| |
Citation： |
Yang YANG,Kaiyong WANG.Estimates for the Tail Probability of the Supremum of a Random Walk with Independent Increments[J].Chinese Annals of Mathematics B,2011,32(6):847~856 |
| Page view： 2154
Net amount： 1337 |
Authors： |
Yang YANG; Kaiyong WANG; |
Foundation： |
the National Natural Science Foundation of China (No. 11001052), the Postdoctoral
Science Foundation of China (No. 20100471365), the Jiangsu Provincial Natural Science Foundation
of China (No. BK2010480), the Natural Science Foundation of the Jiangsu Higher Education Institutions
of China (No. 10KJB110010), the Jiangsu Provincial Postdoctoral Research Program of China
(No. 0901029C) and the Jiangsu Government Scholarship for Overseas Studies, Qing Lan Project. |
|
|
| Abstract： |
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 O-
subexponential integrated distributions. A uniform upper bound is derived for the distri-
bution 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. |
Keywords： |
Random walk, O-Subexponential distribution, Integrated distribution,
Supremum |
Classification： |
60G50, 60F99, 60E05 |
|
|
Download PDF Full-Text
|
|
|
|
