On the limit law of a random walk conditioned to reach a high level

Author:

Foss Sergey G.,Puhalskii Anatolii A.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference27 articles.

1. Applied Probability and Queues (Stochastic Modelling and Applied Probability);Asmussen,2003

2. Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue;Asmussen;Adv. in Appl. Probab.,1982

3. Lévy Processes;Bertoin,1996

4. Some asymptotic results for transient random walks;Bertoin;Adv. in Appl. Probab.,1996

5. Regular Variation;Bingham,1989

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