Asymptotics for random walks with dependent heavy-tailed increments

D. A. Korshunov; S. Schlegel; V. Schmidt

首页> 外文期刊>Siberian Mathematical Journal >Asymptotics for random walks with dependent heavy-tailed increments

【24h】

Asymptotics for random walks with dependent heavy-tailed increments

机译：具有依赖的重尾增量的随机行走的渐近性

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

We consider a random walk {S_n} with dependent heavy-tailed increments and negative drift. We study the asymptotics for the tail probability P{sup_nS_n > x} as x → ∞. If the increments of {S_n} are independent then the exact asymptotic behavior of P{sup_nS_n > x} is well known. We investigate the case in which the increments are given as a one-sided asymptotically stationary linear process. The tail behavior of sup_nS_n turns out to depend heavily on the coefficients of this linear process.

机译：我们考虑具有相关的重尾增量和负漂移的随机游走{S_n}。我们研究了当x→∞时，尾部概率P {sup_nS_n> x}的渐近性。如果{S_n}的增量是独立的，则众所周知P {sup_nS_n> x}的精确渐近行为。我们调查的情况下，增量为单边渐近平稳线性过程。 sup_nS_n的尾部行为在很大程度上取决于此线性过程的系数。

著录项

来源
《Siberian Mathematical Journal》 |2003年第5期|共12页
作者
D. A. Korshunov; S. Schlegel; V. Schmidt;
展开▼
作者单位

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类数学;
关键词
random walk; dependent increment; heavy tails; subexponential distribution; tail asymptotics;

机译：随机游走;相关增量;重尾;亚指数分布;尾渐近;

相似文献

外文文献
中文文献
专利

1. Asymptotics for random walks with dependent heavy-tailed increments [J] . D. A. Korshunov, S. Schlegel, V. Schmidt Siberian Mathematical Journal . 2003,第5期

机译：具有依赖的重尾增量的随机行走的渐近性
2. EQUIVALENT CONDITIONS OF LOCAL ASYMPTOTICS FOR THE OVERSHOOT OF A RANDOM WALK WITH HEAVY-TAILED INCREMENTS [J] . Wang Kaiyong, Wang Yuebao, Yin Chuancun 数学物理学报（英文版） . 2011,第001期

机译：带重尾的随机漫步的正交渐近的局部渐近条件
3. THE UNIFORM LOCAL ASYMPTOTICS OF THE OVERSHOOT OF A RANDOM WALK WITH HEAVY-TAILED INCREMENTS [J] . Guochun Chen, Yuebao Wang, Fengyang Cheng Stochastic models . 2009,第3期

机译：具有重尾的随机漫步的牛顿数的一致局部渐近性
4. Skewed and Heavy-Tailed Hidden Random Walk Models with Applications in Automated Production Testing [C] . Lukas Leitner, Christian Endisch IEEE International Conference on Intelligent Engineering Systems . 2018

机译：具有自动化生产测试中的应用的偏斜和重尾的隐藏随机步道模型
5. Asymptotic density in an N-threshold randomly coalescing and annihilating random walk on the D-dimensional integer lattice [D] . Stephenson, David Mark 1999

机译：D维整数晶格上N个阈值的随机合并和an灭的随机游动的渐近密度
6. Asymptotic form for random walk survival probabilities on three-dimensional lattices with traps [O] . George H. Weiss 1980

机译：带陷阱的三维晶格上随机行走生存概率的渐近形式
7. Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments [O] . Denis Denisov, Elena Perfilev, Vitali Wachtel 2021

机译：尾部渐近的面积在游览中随机散步，具有重尾的增量
8. Random Walk with a Heavy-Tailed Jump Distribution. [R] . Cohen, J. W. 2000

机译：具有重尾跳跃分布的随机游走。

Asymptotics for random walks with dependent heavy-tailed increments

摘要

著录项

相似文献

相关主题

期刊订阅