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Cramers estimate for a reflected Levy process

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Date

2005

Authors

Doney, R A
Maller, Ross

Journal Title

Journal ISSN

Volume Title

Publisher

Institute of Mathematical Statistics

Abstract

The natural analogue for a Lévy process of Cramér's estimate for a reflected random walk is a statement about the exponential rate of decay of the tail of the characteristic measure of the height of an excursion above the minimum. We establish this esti

Description

Keywords

Keywords: High excursions; Maximal segmental score; Maximum of reflected process; Poisson limit theorem

Citation

URI

http://hdl.handle.net/1885/83440

Collections

ANU Research Publications

Source

The Annals of Probability

Type

Journal article

Book Title

Entity type

Access Statement

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