On the exact asymptotic behaviour of the distribution of the supremum in the "critical" case

M. S. Sgibnev

Statistics & Probability Letters, 2001, vol. 54, issue 4, 357-362

Abstract: We consider a random walk drifting to -[infinity] with distribution F of the steps. The paper considers the exact asymptotic behaviour of the distribution D of the supremum when there exists [gamma]>0 such that and , thus filling the remaining gap in describing the behaviour of D in terms of -distributions.

Keywords: Random; walk; Supremum; Exact; asymptotic; behaviour; -distributions (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(01)00018-9
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:54:y:2001:i:4:p:357-362

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().