Maximum of Random Walk

  • Sergey Foss
  • Dmitry Korshunov
  • Stan Zachary
Part of the Springer Series in Operations Research and Financial Engineering book series (ORFE)


In this chapter, we study a random walk whose increments have a (right) heavy-tailed distribution with a negative mean. We also consider applications to queueing and risk processes.


Income Summing 


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Copyright information

© Springer Science + Business Media New York 2013

Authors and Affiliations

  • Sergey Foss
    • 1
  • Dmitry Korshunov
    • 2
  • Stan Zachary
    • 1
  1. 1.Department of Actuarial MathematicsHeriot-Watt UniversityEdinburghUK
  2. 2.Sobolev Institute of MathematicsNovosibirskRussia

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