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math.PR2008
An extension of a logarithmic form of Cramer's ruin theorem to some FARIMA and related processes
Ph. Barbe, W. P. McCormick
Cramer's theorem provides an estimate for the tail probability of the maximum of a random walk with negative drift and increments having a moment generating function finite in a ne…
math.PR2008★ 2 cited
Veraverbeke's theorem at large - On the maximum of some processes with negative drift and heavy tail innovations
Philippe Barbe, Bill McCormick
Veraverbeke's (1977) theorem relates the tail of the distribution of the supremum of a random walk with negative drift to the tail of the distribution of its increments, or equival…