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Diffusion Approximations for the Maximum of a Perturbed Random Walk
Perturbed random walk diffusion approximation light-tailed distributi
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2015/7/6
Considera random walk S=(Sn:n≥O) that is "perturbed" by a stationary sequence (ξn:n≥O) to produce the process S=(Sn+ξn:n≥O). In this paper, we are concerned with developing limit theorems and approxim...
Tail Asymptotics for the Maximum of Perturbed Random Walk
Perturbed random walk Cramér–Lundberg approximation coupling heavy tails
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2015/7/6
Consider a random walk S = (Sn:n≥0) that is “perturbed” by a stationary sequence (ξn:n≥0) to produce the process (Sn+ξn:n≥0). This paper is concerned with computing the distribution of the all-time ma...