165 citations · 259 across the 55 of their papers we have counts for
4 papers · 2 filters
Martingale approach to subexponential asymptotics for random walks
Denis Denisov, Vitali Wachtel
Consider the random walk with independent and identically distributed increments and negative mean . Let be the supremum of…
Random walks in cones
Denis Denisov, Vitali Wachtel
We study the asymptotic behavior of a multidimensional random walk in a general cone. We find the tail asymptotics for the exit time and prove integral and local limit theorems for…
Upper bounds for the maximum of a random walk with negative drift
Johannes Kugler, Vitali Wachtel
Consider a random walk with negative drift. This paper deals with upper bounds for the maximum of this random walk in different settings…
Ordered random walks with heavy tails
Denis Denisov, Vitali Wachtel
This note continues paper of Denisov and Wachtel (2010), where we have constructed a -dimensional random walk conditioned to stay in the Weyl chamber of type . The constructi…