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Asymptotic formulas for probabilities of
large deviations of ladder heights
Sergey V. Nagaev Sobolev Institute of Mathematics, 4, Koptyug Pr., Novosibirsk 630090, Russia
Abstract:
Asymptotic formulas for large-deviation probabilities of a ladder height in a random
walk generated by a sequence of sums of i.i.d. random variables are deduced.
Two cases are considered:
Funding Agency |
Grant Number |
Russian Foundation for Basic Research  |
grant 06-01-00069 |
This article was partially supported by the Russian Foundation for Basic Research (grant 06-01-00069) |
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MSC: 60F10
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Citation:
Sergey V. Nagaev, “Asymptotic formulas for probabilities of
large deviations of ladder heights”, Theory Stoch. Process., 14(30):1 (2008), 100–116
Citation in format AMSBIB
\Bibitem{Nag08}
\by Sergey~V.~Nagaev
\paper Asymptotic formulas for probabilities of
large deviations of ladder heights
\jour Theory Stoch. Process.
\yr 2008
\vol 14(30)
\issue 1
\pages 100--116
\mathnet{http://mi.mathnet.ru/thsp134}
\mathscinet{http://www.ams.org/mathscinet-getitem?mr=2479711}
\zmath{https://zbmath.org/?q=an:1199.60064}
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http://mi.mathnet.ru/eng/thsp134 http://mi.mathnet.ru/eng/thsp/v14/i1/p100
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