| 重尾随机游动最大值的局部渐近性质及其在保险和排队论中的应用(英文) |
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| 引用本文： | 明瑞星,陈昱,吴耀华.重尾随机游动最大值的局部渐近性质及其在保险和排队论中的应用(英文)[J].中国科学技术大学学报,2013,43(3):173-181. |
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| 作者姓名： | 明瑞星 陈昱 吴耀华 |
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| 作者单位： | 中国科学技术大学统计与金融系,安徽合肥,230026 |
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| 基金项目： | Supported by National Science Foundation of China(10801124,11171321,10801188);the Fundamental Research Funds for the Central Universities(WK2040170006) |
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| 摘 要： | 考虑一个随机游动Sn=X1+…+Xn,n=1,2,…,其中,X1,X2…独立同分布且有非负均值μ和共同分布F.对某个有限区间△,FS∈S△,给出了最大值M=max{S1,S2,…}属于区间(x,x+z]的概率的渐近性质,0
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| 关 键 词： | 随机游动 积分尾分布 局部次指数分布 破产概率 M/G/1队列 GI/G/1队列 |
On local asymptotics for a heavy-tailed random walk maximum with applications in insurance and queueing theory |
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| MING Ruixing
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CHEN Yu
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WU Yaohua.On local asymptotics for a heavy-tailed random walk maximum with applications in insurance and queueing theory[J].Journal of University of Science and Technology of China,2013,43(3):173-181. |
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| Authors: | MING Ruixing CHEN Yu WU Yaohua |
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| Institution: | (Department of Statistics and Finance,University of Science and Technology of China,Hefei 230026,China) |
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| Abstract: | |
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| Keywords: | random walk integrated tail distribution local subexponential distribution ruin probability M/G/1 queue GI/G/1 queue |
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