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On the rate of convergence of the maximum of a compound Poisson process

Published online by Cambridge University Press:  01 July 2016

J. L. Teugels
J. L. Teugels*
Affiliation:
Katholieke Universiteit te Leuven
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Abstract

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Type
Eighth Conference on Stochastic Processes and their Applications
Information
Advances in Applied Probability , Volume 11 , Issue 2 , June 1979 , pp. 274 - 275
Copyright
Copyright © Applied Probability Trust 1979 

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References

Iglehart, D. L. (1974) Random walks with negative drift conditioned to stay positive. J. Appl. Prob. 11, 742–751.Google Scholar
Teugels, J. L. (1977) On the rate of convergence of the maximum of a compound Poisson process. Bull Soc. Math. Belg. 29, 205–216.Google Scholar
Veraverbeke, N. and Teugels, J. L. (1975), (1976) The exponential rate of convergence of the distribution of the maximum of a random walk. Parts I and II. J. Appl. Prob. 12, 279–288; 13, 733–740.Google Scholar