Exact asymptotic behaviour of the distribution of the supremum

M. S. Sgibnev

Statistics & Probability Letters, 2001, vol. 52, issue 3, 301-311

Abstract: Asymptotic expansions are obtained for the distribution of the supremum of a random walk with negative drift. The influence of the roots of the characteristic equation is taken into account. The exact tail behaviour of the remainder terms is determined.

Keywords: Random; walk; Supremum; Exact; tail; behaviour; Characteristic; equation; -distributions (search for similar items in EconPapers)
Date: 2001
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