Cramers estimate for a reflected Levy process

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dc.contributor.authorDoney, R A
dc.contributor.authorMaller, Ross
dc.date.accessioned2015-12-13T22:58:44Z
dc.date.available2015-12-13T22:58:44Z
dc.date.issued2005
dc.date.updated2015-12-12T07:24:08Z
dc.description.abstractThe 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
dc.identifier.issn0091-1798
dc.identifier.urihttp://hdl.handle.net/1885/83440
dc.publisherInstitute of Mathematical Statistics
dc.sourceThe Annals of Probability
dc.subjectKeywords: High excursions; Maximal segmental score; Maximum of reflected process; Poisson limit theorem
dc.titleCramers estimate for a reflected Levy process
dc.typeJournal article
local.bibliographicCitation.lastpage6
local.bibliographicCitation.startpage1
local.contributor.affiliationDoney, R A, University of Manchester
local.contributor.affiliationMaller, Ross, College of Business and Economics, ANU
local.contributor.authoruidMaller, Ross, u4061848
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.absfor010401 - Applied Statistics
local.identifier.ariespublicationMigratedxPub11708
local.identifier.citationvolume15
local.identifier.scopusID2-s2.0-21244482207
local.type.statusPublished Version

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