Vitali Wachtel

most citedHeavy-traffic analysis of the maximum of an asymptotically stable random walk

2 citations · 3 across the 3 of their papers we have counts for

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math.PR2009★ 1 cited

Conditional limit theorems for ordered random walks

D. Denisov, V. Wachtel

In a recent paper of Eichelsbacher and Koenig (2008) the model of ordered random walks has been considered. There it has been shown that, under certain moment conditions, one can c…

math.PR2009

Transition phenomena for ladder epochs of random walks with small negative drift

Vitali Wachtel

For a family of random walks ${S^{(a)}}$ satisfying $E S_{1}^{(a)} = - a < 0$ we consider ladder epochs $τ^{(a)} = min {k \geq 1 : S_{k}^{(a)} < 0}$ . We study the asymptotic, as $a\to0…

math.PR2009★ 2 cited

Heavy-traffic analysis of the maximum of an asymptotically stable random walk

Seva Shneer, Vitali Wachtel

For families of random walks ${S_{k}^{(a)}}$ with $E S_{k}^{(a)} = - k a < 0$ we consider their maxima $M^{(a)} = sup_{k \geq 0} S_{k}^{(a)}$ . We investigate the asymptotic behav…