Consider the random walk $S_n=\xi_1+\cdots+\xi_n$ with independent and identically distributed increments and negative mean $\mathbf E\xi=-m<0$. Let $M=\sup_{0\le i} S_i$ be the supremum of the random walk. In this note we present derivation of asymptotics for $\mathbf P(M>x), x\to\infty$ for…
Fecha:
2012-01-02
Recurso:
Electronic communications in probability
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