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

2019/07/02 by Denisov, Denis, Perfilev, Elena, Wachtel, Vitali
#60F17 #FOS: Mathematics #Primary 60G50 #Probability (math.PR) #Secondary 60G40

paper · doi:10.48550/arxiv.1907.01280

Abstract

We study 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.

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