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Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments

Published online by Cambridge University Press:  25 February 2021

Denis Denisov
Affiliation:
University of Manchester
Elena Perfilev
Affiliation:
Universität Augsburg
Vitali Wachtel
Affiliation:
Universität Augsburg

Abstract

We study the tail behaviour of the distribution of the area under the positive excursion of a random walk which has negative drift and heavy-tailed increments. We determine the asymptotics for tail probabilities for the area.

Type
Research Papers
Copyright
© The Author(s), 2021. Published by Cambridge University Press on behalf of Applied Probability Trust

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