王定成; 苏淳
Wang Dingcheng; Su Chun
摘要:
In this article, the dependent steps of a negative drift random walk are modelled as a two-sided linear process Xn=-μ +∑j=-∞∞ arphin-jεj, where {ε,εn ;-∞0 is a constant and the coefficients {\varphii; -∞<i<∞} satisfy 0<∑j=-∞∞|j arphij | <∞. Under conditions the distribution function of |ε| has dominated variation and ε satisfies certain tail balance conditions, the asymptotic behavior of P{supn≥0( -n μ +∑j=-∞∞εjβnj)> x } is discussed. Then the result is applied to ultimate ruin probability.
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