Asymptotic formulas for probabilities of large deviations of ladder heights

• Datum: 2008
• ISSN: 0321-3900
• 1. Verfasser: Nagaev, S.V.
• Format: Artikel
• Sprache: Englisch
• Veröffentlicht: Інститут математики НАН України 2008
• Online Zugang: https://nasplib.isofts.kiev.ua/handle/123456789/4541
• Назва журналу: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Zitieren: Asymptotic formulas for probabilities of large deviations of ladder heights / S.V. Nagaev // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 1. — С. 100–116. — Бібліогр.: 17 назв.— англ.

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:
 a) the distribution F(x) of summands is normal with a zero mean.
 b) F(x) bel...