Discrete and continuous time modulated random walks with heavy-tailed increments (Q2385614)

Before presenting their general theory the authors give an extremely well written and illuminating introduction with motivations and interesting applications to which the reviewer wants to add the field of continuous time random walks with jumps depending on the preceding waiting time. A concise description of the rich contents is best be given by the authors' own abstract: We consider a modulated process \(S\) which, conditional on a background process \(X\), has independent increments. Assuming that \(S\) drifts to \(- \infty\) and that its increments (jumps) are heavy-tailed (in a sense made precise in the paper), we exhibit natural conditions under which the asymptotics of the tail distribution of the overall maximum of \(S\) can be computed. We present results in discrete and in continuous time. In particular, in the absence of modulation, the process \(S\) in continuous time reduces to a Lévy process with heavy-tailed Lévy measure. A central point of the paper is that we make full use of the so-called ``principle of a single big jump'' in order to obtain both upper and lower bounds. Thus, the proofs are entirely probabilistic. The paper is motivated by queueing and Lévy stochastic networks.