The authors investigate the tail probability of the supremum of a random walk with independent increments and obtain some equivalent assertions in the case that the increments are independent and identically distribut...The authors investigate the tail probability of the supremum of a random walk with independent increments and obtain some equivalent assertions in the case that the increments are independent and identically distributed random variables with Osubexponential integrated distributions.A uniform upper bound is derived for the distribution of the supremum of a random walk with independent but non-identically distributed increments,whose tail distributions are dominated by a common tail distribution with an O-subexponential integrated distribution.展开更多
基金Supported by the Natural Science Fund of Inner Mongolia University for the Nationalities(NMD1227)the Anhui Natural Science Fund for Institutions of Higher Education(KJ2010B431)the Construction Fund for National Feature Specialty(TS11496)
基金supported by the National Natural Science Foundation of China (No.11001052)the Postdoctoral Science Foundation of China (No.20100471365)+3 种基金the Jiangsu Provincial Natural Science Foundation of China (No.BK2010480)the Natural Science Foundation of the Jiangsu Higher Education Institutions of China (No.10KJB110010)the Jiangsu Provincial Postdoctoral Research Program of China (No.0901029C)the Jiangsu Government Scholarship for Overseas Studies,Qing Lan Project
文摘The authors investigate the tail probability of the supremum of a random walk with independent increments and obtain some equivalent assertions in the case that the increments are independent and identically distributed random variables with Osubexponential integrated distributions.A uniform upper bound is derived for the distribution of the supremum of a random walk with independent but non-identically distributed increments,whose tail distributions are dominated by a common tail distribution with an O-subexponential integrated distribution.
