Randomly stopped maximum and maximum of sums with consistently varying distributions (Q522551): Difference between revisions

Let \(\xi_1\), \(\xi_2,\ldots\) be independent, not necessarily identically distributed, real-valued random variables which are independent of a nonnegative integer-valued random variable \(\tau\). The authors provide sufficient conditions under which the distribution tails of \(\max(0,\xi_1,\ldots, \xi_1+\cdots+\xi_n)\) and \(Z:=\max(0,\xi_1,\ldots, \xi_\tau)\) are consistently varying, that is, for instance, \[ \lim_{y\uparrow 1}\limsup_{x\to\infty}\,\frac{\mathbb{P}\{Z>xy\}}{\mathbb{P}\{Z>x\}}=1. \] The convolution closure property of the class of distributions with consistently varying tails plays an important role in the proofs. The applicability of the authors' results is demonstrated with the help of two examples with explicit distributions of \(\xi_1\), \(\xi_2,\ldots\) and \(\tau\).