具有次指数分布的有限随机游动随机停时最大和的渐近性
Asymptotics of the Maximum Sum of Randomly Stopped Finite Random Walks with Subexponential Distribution
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摘要: 研究了有限数量的具有次指数分布增量和负漂移的独立随机游动,将最大和的一维结果推广到有限维以及一般停时的情形,并且当这些区间的长度分布相对于随机游动增量的分布相对较小时,提出了随机时间区间的部分最大和的渐近尾分布.Abstract: We study a finite number of independent random walks with subexponentially distributed increments and negative drifts. We extend the one-dimensional results to finite and fully general stopping times. Assuming that the distribution of the lengths of these intervals is relatively light compared to the distribution of the increments of the random walks, we derive the asymptotic tail distribution of the partial maximum sum over the random time interval.
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