Some asymptotic results for transient random walks

被引：54
|
作者：
Bertoin, J [1 ]
Doney, RA [1 ]
机构：
[1] UNIV MANCHESTER,DEPT MATH,STAT LAB,MANCHESTER M13 9PL,LANCS,ENGLAND
来源：
ADVANCES IN APPLIED PROBABILITY | 1996年 / 28卷 / 01期
关键词：
transient random walks;
D O I：
10.2307/1427918
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider a real-valued random walk S which drifts to -infinity and is such that E(exp theta S-1)<infinity for some theta>0, but for which Cramer's condition fails. We investigate the asymptotic tail behaviour of the distributions of the all time maximum, the upwards and downwards first passage times and the last passage times, As an application, we obtain new limit theorems for certain conditional laws.
引用
收藏
页码：207 / 226
页数：20
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