The overshoot of a random walk with negative drift

Qihe Tang

Statistics & Probability Letters, 2007, vol. 77, issue 2, 158-165

Abstract: Let {Sn,n[greater-or-equal, slanted]0} be a random walk starting from 0 and drifting to -[infinity], and let [tau](x) be the first time when the random walk crosses a given level x[greater-or-equal, slanted]0. Some asymptotics for the tail probability of the overshoot S[tau](x)-x, associated with the event ([tau](x)

Keywords: Asymptotics; Ladder; height; Tail; probabilities; The; class; Uniformity; Wiener-Hopf; type; factorization (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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