Supremum asymptotics for random walk with switching

D. K. Kim

Sibirskie èlektronnye matematičeskie izvestiâ, Tome 11 (2014), pp. 999-1020.

Résumé

We consider random walk $X_n, n\geq 0$ with one level of switching $a\leq 0.$ Some theorems on the asymptotics of the supremum distribution $\mathbf{P}\left(\sup\limits_{n} X_n>x\right)$ as $x\to\infty,$ $a\to -\infty$ were obtained in Cramer case.

Détail

Keywords: random walk with switching, supremum asymptotics.

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