# The critical case of the Cramer-Lundberg theorem on the asymptotic tail behavior of the maximum of a negative drift random walk.

Sibirskij Matematicheskij Zhurnal (2005)

- Volume: 46, Issue: 6, page 1335-1340
- ISSN: 0037-4474

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topKorshunov, D.A.. "The critical case of the Cramer-Lundberg theorem on the asymptotic tail behavior of the maximum of a negative drift random walk.." Sibirskij Matematicheskij Zhurnal 46.6 (2005): 1335-1340. <http://eudml.org/doc/53298>.

@article{Korshunov2005,

author = {Korshunov, D.A.},

journal = {Sibirskij Matematicheskij Zhurnal},

keywords = {maximum of a random walk; probabilities of large deviations; light tails; exponential change of measure; truncated mean value function},

language = {eng},

number = {6},

pages = {1335-1340},

publisher = {Sibirskoe Otdelenie Rossijskoj Akademii Nauk, Institut Matematiki Im. S. L. Soboleva SO RAN, Novosibirsk; Izdatel'stvo Instituta Matematiki},

title = {The critical case of the Cramer-Lundberg theorem on the asymptotic tail behavior of the maximum of a negative drift random walk.},

url = {http://eudml.org/doc/53298},

volume = {46},

year = {2005},

}

TY - JOUR

AU - Korshunov, D.A.

TI - The critical case of the Cramer-Lundberg theorem on the asymptotic tail behavior of the maximum of a negative drift random walk.

JO - Sibirskij Matematicheskij Zhurnal

PY - 2005

PB - Sibirskoe Otdelenie Rossijskoj Akademii Nauk, Institut Matematiki Im. S. L. Soboleva SO RAN, Novosibirsk; Izdatel'stvo Instituta Matematiki

VL - 46

IS - 6

SP - 1335

EP - 1340

LA - eng

KW - maximum of a random walk; probabilities of large deviations; light tails; exponential change of measure; truncated mean value function

UR - http://eudml.org/doc/53298

ER -

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