关于重尾随机游动的一个逆命题
A CONVERSE PROPOSITION ABOUT A HEAVY-TAILED RANDOM WALK
摘要
利用一类常见分布族的一个重要性质,给出了增量带重尾分布的随机游动在随机时段内的上确界超越曲线边界的概率的一个重要结果的必要条件.
The necessary condition of an important result of the probability that the supremum of a random walk with heavy - tailed increments crosses a curve on a random time interval is presented by using an important property of a general distribution class.
出处
《华南师范大学学报（自然科学版）》
CAS
2006年第1期6-8,42,共4页
Journal of South China Normal University(Natural Science Edition)
关键词
随机游动
随机时段
超越曲线边界的概率
尾分布
等价条件
random walk
random time interval
probabihty of overcrossing a curve
heavy-tailed distribution
equivalent condition
参考文献4
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2KLUPPELBERG C.Subexponential distributions and integrated tails[J].J Appl Probab,1988,25:132-141.
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3FOSS S,ZACHARY S.The maximum on a random time interval of a random walk with long-tailed increments and negative drift[J].Ann Appl Prob,2003,13:37-53.
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4ASMUSSEN S.Applied Probability and Queues[M].Chichester:Wiley,1987.
