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

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  • Wang, Kaiyong
  • Yang, Yang
  • Yu, Changjun

Abstract

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.

Suggested Citation

  • Wang, Kaiyong & Yang, Yang & Yu, Changjun, 2013. "Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1504-1512.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:6:p:1504-1512
    DOI: 10.1016/j.spl.2013.02.015
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    References listed on IDEAS

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