Yingdong Lu
International Journal of Applied Mathematics and Statistics
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
International Journal of Applied Mathematics and Statistics
Yingdong Lu, Siva Theja Maguluri, et al.
IEEE TACON
Yue Tan, Yingdong Lu, et al.
SIGMETRICS/IFIP 2012
Yingdong Lu, Jing-Sheng Song
Operations Research