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An asymptotic expansion for the distribution of the supremum of a random walk

M. Sgibnev — 2000

Studia Mathematica

Let S n be a random walk drifting to -∞. We obtain an asymptotic expansion for the distribution of the supremum of S n which takes into account the influence of the roots of the equation 1 - e s x F ( d x ) = 0 , F being the underlying distribution. An estimate, of considerable generality, is given for the remainder term by means of submultiplicative weight functions. A similar problem for the stationary distribution of an oscillating random walk is also considered. The proofs rely on two general theorems for Laplace transforms....

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