Subexponential densities of compound Poisson sums and the supremum of a random walk
Author:
Affiliation:
1. Institute of Statistical Mathematics, Tokyo, Japan
2. Center for Mathematical Sciences, University of Aizu, Fukushima, Japan
Publisher
Duke University Press
Reference18 articles.
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3. J. Chover, P. Ney, and S. Wainger, Functions of probability measures, J. Anal. Math. 26 (1973), 255–302.
4. D. Finkelshtein and P. Tkachov, Kesten’s bound for subexponential densities on the real line and its multi-dimensional analogues, Adv. Appl. Probab. 50 (2018), no. 2, 373–395.
5. S. Foss and S. Zachary, The maximum on a random time interval of a random walk with long-tailed increments and negative drift, Ann. Appl. Probab. 13 (2003), no. 1, 37–53.
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