A local limit theorem for random walk maxima with heavy tails

For a random walk with negative mean and heavy-tailed increment distribution F, it is well known that under suitable subexponential assumptions, the distribution [pi] of the maximum has a tail [pi](x,[infinity]) which is asymptotically proportional to . We supplement here this by a local result showing that [pi](x,x+z] is asymptotically proportional to zF(x,[infinity]).

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Year of publication:	2002
Authors:	Asmussen, Søren ; Kalashnikov, Vladimir ; Konstantinides, Dimitrios ; Klüppelberg, Claudia ; Tsitsiashvili, Gurami
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 56.2002, 4, p. 399-404
Publisher:	Elsevier
Keywords:	Integrated tail Ladder height Subexponential distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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