1 citations · 1 across the 2 of their papers we have counts for
3 papers
math.PR2019★ 1 cited
Local tail asymptotics for the joint distribution of length and of maximum of a random walk excursion
Elena Perfilev, Vitali Wachtel
This note is devoted to the study of the maximum of the excursion of a random walk with negative drift and light-tailed increments. More precisely, we determine the local asymptoti…
math.PR2019
Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments
Denis Denisov, Elena Perfilev, Vitali Wachtel
We study tail behaviour of the distribution of the area under the positive excursion of a random walk which has negative drift and heavy-tailed increments. We determine the asympto…
math.PR2017
Local asymptotics for the area under the random walk excursion
Elena Perfilev, Vitali Wachtel
We study tail behaviour of the distribution of the area under the positive excursion of a random walk which has negative drift and light-tailed increments. We determine the asympto…