The supremum of random walk with negatively associated and heavy-tailed steps

Wang, Dingcheng; Chen, Ping-Yan; Su, Chen

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The supremum of random walk with negatively associated and heavy-tailed steps

Date

2007

Authors

Wang, Dingcheng

Chen, Ping-Yan

Su, Chen

Publisher

Elsevier

Abstract

This paper obtains the Embrechts-Veraverbeke asymptotic formula for the random walk with dependent steps, where the steps constitute a sequence of negatively associated random variables with a common heavy-tailed distribution such that its left tail is lighter than its right tail.