Local asymptotics of a Markov modulated random walk with heavy-tailed increments
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s10114-011-8191-2.pdf
Reference26 articles.
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3. Bertoin, J., Doney, R. A.: On the local behaviour of ladder height distributions. J. Appl. Probab., 31, 816–821 (1994)
4. Denisov, D., Shneer, V.: Local asymptotics for the cycle maximum of a heavy-tailed random walk. Adv. Appl. Probab., 39, 221–244 (2007)
5. Asmussen, S., Foss, S., Korshunov, D.: Asymptotics for sums of random variables with local subexponential behaviour. J. Theoret. Probab., 16, 489–518 (2003)
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