The maximum on a random time interval of a random walk with long-tailed increments and negative drift. (Q1872352): Difference between revisions

For a random walk started at the origin with negative drift and long-tailed distribution \(F(.)\) of the summands the maximum \(M_{\sigma}\) until a stopping time \(\sigma\) is investigated. The key result is \(\lim_{x\to \infty} P(M_{\sigma}>x)/ (1-F(x)) = E(\sigma)\) under suitable conditions. The essentially necessary and sufficient condition is that \(F\) is in Klueppelberg's class \(\mathcal {S}^*\).