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

@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 -