Asymptotics of the Maximum Sum of Randomly Stopped Finite Random Walks with Subexponential Distribution

  • Abstract: We study a finite number of independent random walks with subexponentially distributed increments and negative drifts. We extend the results of one-dimensional to finite and completely general stopping times. Assuming that the distribution of the length of these intervals is relatively small relative to the distribution of the increment of the random walk, we propose the asymptotic tail distribution of the partial maximum sum in the random time interval.

     

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