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Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments
Published online by Cambridge University Press: 25 February 2021
Abstract
We study the 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 asymptotics for tail probabilities for the area.
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- © The Author(s), 2021. Published by Cambridge University Press on behalf of Applied Probability Trust
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