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On the Maximum Exceedance of a Sequence of Random Variables Over a Renewal Threshold
Published online by Cambridge University Press: 14 July 2016
Abstract
In this paper we study the tail behavior of the maximum exceedance of a sequence of independent and identically distributed random variables over a random walk. For both light-tailed and heavy-tailed cases, we derive a precise asymptotic formula, which extends and unifies some existing results in the recent literature of applied probability.
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- Copyright © Applied Probability Trust 2009
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