Yingdong Lu, Jing-Sheng Song
Operations Research
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.
Yingdong Lu, Jing-Sheng Song
Operations Research
Kyomin Jung, Yingdong Lu, et al.
Mathematics of Operations Research
Soumyadip Ghosh, Yingdong Lu, et al.
Applied Mathematics Letters
Yingdong Lu, Ana Radovanovic
Allerton 2006