Estimates for the Tail Probability of the Supremum of a Random Walk with Independent Increments

作     者：Yang YANG Kaiyong WANG 

作者机构：School of Mathematics and Statistics Nanjing Audit University Nanjing 210029 China Department of Information and Computational Science School of Mathematics and Physics Suzhou University of Science and Technology Suzhou 215009 Jiangsu China 

出 版 物：《Chinese Annals of Mathematics,Series B》 (数学年刊（B辑英文版）)

年 卷 期：2011年第32卷第6期

页      面：847-856页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 070104[理学-应用数学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the National Natural Science Foundation of China (No.11001052) the Postdoctoral Science Foundation of China (No.20100471365) 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 

主　　题：Random walk O-Subexponential distribution Integrated distribution Supremum 

摘      要：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.