In this article, the dependent steps of a negative drift random walk are modelled as a two-sided linear process. Xn=-u＋∑j=-∞^∞ φn-jεj, where { ε, εn; -∞〈n〈＋∞} is a sequence of independent, identically di...In this article, the dependent steps of a negative drift random walk are modelled as a two-sided linear process. Xn=-u＋∑j=-∞^∞ φn-jεj, where { ε, εn; -∞〈n〈＋∞} is a sequence of independent, identically distributed random variables with zero mean, u 〉 0 is a constant and the coefficients {φi; -∞〈i〈∞} satisfy 0〈 ∑j=-∞^∞ ｜jφj｜〈 ∞ . Under the conditions that the distribution function of ｜ε｜ has dominated variation and ε satisfies certain tail balance conditions, the asymptotic behavior of P{sup n≥0 （-qu＋∑j=-∞^∞ εj βnj）〉x} is discussed. Then the result is applied to ultimate ruin probability.展开更多
基金Research supported by National Science Foundation of China (70671018 and 10371117)
文摘In this article, the dependent steps of a negative drift random walk are modelled as a two-sided linear process. Xn=-u＋∑j=-∞^∞ φn-jεj, where { ε, εn; -∞〈n〈＋∞} is a sequence of independent, identically distributed random variables with zero mean, u 〉 0 is a constant and the coefficients {φi; -∞〈i〈∞} satisfy 0〈 ∑j=-∞^∞ ｜jφj｜〈 ∞ . Under the conditions that the distribution function of ｜ε｜ has dominated variation and ε satisfies certain tail balance conditions, the asymptotic behavior of P{sup n≥0 （-qu＋∑j=-∞^∞ εj βnj）〉x} is discussed. Then the result is applied to ultimate ruin probability.
