Limit laws for a sequence between the maximum and the sum of independent exponentials (Q1365181)

Let \((Y_n, n\geq 1)\) be a sequence of i.i.d. random variables with \(F\) as the distribution function of \(Y_1\). Define the sequence \(X_0= 0\) and \(X_{n+1}= \max(X_n, \alpha X_n+ Y_{n+1})\), \(n\geq 0\), where \(0\leq\alpha\leq 1\) is a constant. When \(F\) is supported on the half axis \((0,\infty)\), note that at \(\alpha= 0\), \(X_n= \max(Y_1,Y_2,\dots, Y_n)\) and at \(\alpha= 1\), \(X_n= Y_1+ Y_2+\cdots+ Y_n\). For \(\alpha\in(0,1)\), \((X_n)\) is bounded by the sequences of partial maxima and partial sums. The authors assume that \(F\) is unit exponential and establish the weak convergence and strong convergence results for \((X_n)\), properly normalized. Further, they establish the weak convergence of the associated record value sequence. The sequence \((X_n)\) constructed above was first introduced and studied by \textit{P. E. Greenwood} and \textit{G. Hooghiemstra} [Probab. Theory Relat. Fields 89, No. 2, 201-210 (1991; Zbl 0722.60045)].