Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments

Let {Sn:n≥0} be a random walk with negative drift and τ(x) be the first time when the random walk crosses a given level x≥0. This paper focuses on random walks with non-convolution equivalent increments. For this random walk, the uniform asymptotics of P(Sτ(x)−x>y,τ(x)<∞), as x→∞, have been presented.

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Year of publication:	2013
Authors:	Wang, Kaiyong ; Yang, Yang ; Yu, Changjun
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 6, p. 1504-1512
Publisher:	Elsevier
Subject:	Uniform asymptotics \| Overshoot \| Random walk

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

Persistent link: https://www.econbiz.de/10011039972