Prefer a chat interface with context about you and your work?
On Exceedance Times for Some Processes with Dependent Increments
Let { Z n } n ≥0 be a random walk with a negative drift and independent and identically distributed increments with heavy-tailed distribution, and let M = sup n ≥0 Z n be its supremum. Asmussen and Klüppelberg (1996) considered the behavior of the random walk given that M …