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Estimates for the tail probability of the supremum of a random walk with independent increments

โœ Scribed by Yang Yang; Kaiyong Wang


Publisher
Coastal and Estuarine Research Federation
Year
2011
Tongue
English
Weight
169 KB
Volume
32
Category
Article
ISSN
1860-6261

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๐Ÿ“œ SIMILAR VOLUMES


Submultiplicative moments of the supremu
โœ M.S. Sgibnev ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 366 KB

Let {Sn } be the sequence of partial sums of independent identically distributed random variables with negative mean. Necessary and sumcient conditions are obtained for Efp(M~ ) to be finite, where ~(x) is a non-decreasing submultiplicative function, i.e. ~p(x + y)<~cp(x)c~(y), and Moยข = sup{0, Si,