Soumyadip Ghosh, Yingdong Lu, et al.
Journal of Applied Analysis
We study the asymptotic behavior of finite horizon ruin probabilities for random walks with heavy tailed increment via corrected diffusion approximation. We follow the main idea in [4] of inverting Fourier transformation, and the Fourier transformation is calculated through optimal stopping and a central limit theorem for renewal process. Copyright © Cambridge University Press 2013.
Soumyadip Ghosh, Yingdong Lu, et al.
Journal of Applied Analysis
Yue Tan, Yingdong Lu, et al.
ACM SIGMETRICS Performance Evaluation Review
Mark S. Squillante, David D. Yao, et al.
Performance Evaluation Review
Jianying Hu, Yingdong Lu, et al.
Performance Evaluation Review