Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments

Kaiyong Wang, Yang Yang and Changjun Yu

Statistics & Probability Letters, 2013, vol. 83, issue 6, 1504-1512

Abstract: Let {Sn:n≥0} be a random walk with negative drift and τ(x) be the first time when the random walk crosses a given level x≥0. This paper focuses on random walks with non-convolution equivalent increments. For this random walk, the uniform asymptotics of P(Sτ(x)−x>y,τ(x)<∞), as x→∞, have been presented.

Keywords: Uniform asymptotics; Overshoot; Random walk (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.02.015

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