On Large Jumps of a Cramer Random Walk

The asymptotic of large deviation probabilities for the increments of a Cramer random walk is obtained.

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Bibliographic Details
Published inTheory of probability and its applications Vol. 47; no. 4; pp. 719 - 729
Main Authors Piterbarg, V. I., Kozlov, A. M.
Format Journal Article
LanguageEnglish
Published Philadelphia Society for Industrial and Applied Mathematics 2003
Subjects
Hypotheses
Probability
Random variables
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Summary:The asymptotic of large deviation probabilities for the increments of a Cramer random walk is obtained.
ISSN:0040-585X
1095-7219
DOI:10.1137/S0040585X97980129