Query:
faculty: "FEB" and publication year: "2004"
| Author | Q. Tang | | Title | Uniform estimates for the tail probability of maxima over finite horizons with subexponential tails |
| Journal | Probability in the Engineering and Informational Sciences |
| Volume | 18 |
| Year | 2004 |
| Issue | 1 |
| Pages | 71-86 |
| ISSN | 02699648 |
| Faculty | Faculty of Economics and Business |
| Institute/dept. | FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM) |
| Abstract | Let F be the common distribution function of the increments of a random walk {Sn, n [greater-than-or-equal] 0} with S0 = 0 and a negative drift and let {N(t), t [greater-than-or-equal] 0} be a general counting process, independent of {Sn, n [greater-than-or-equal] 0}. This article investigates the tail probability, denoted by [psi](x; t), of the maximum of SN(v) over a finite horizon 0 [less-than-or-equal] v [less-than-or-equal] t. When F is strongly subexponential, some asymptotics for [psi](x; t) are derived as x [rightward arrow] [infty infinity]. The merit is that all of the obtained asymptotics are uniform for t in a finite or infinite time interval. |
| Document type | Article |
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