Asymptotic property of the distribution of the maxima of a random walk

Khursheed Alam

Stochastic Processes and their Applications, 1978, vol. 7, issue 3, 337-340

Abstract: Let F be a univariate distribution with negative expectation, and let M denote the distribution of the positive maxima of a random walk generated by a sequence of independent observations from F. We consider the Laplace transforms of 1-F(x) and 1-M(x). A relation between the transforms yields some known results on the moments and the regularly varying properties of the two distributions.

Keywords: random; walk; regular; variation; Laplace; transform (search for similar items in EconPapers)
Date: 1978
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