A note on Veraverbeke's theorem

DOI10.1023/B:QUES.0000021155.44510.9FzbMATH Open1056.90040arXiv1410.8551OpenAlexW2022725399MaRDI QIDQ596409FDOQ596409

Stan Zachary

Publication date: 10 August 2004

Published in: Queueing Systems (Search for Journal in Brave)

Abstract: We give an elementary probabilistic proof of Veraverbeke's Theorem for the asymptotic distribution of the maximum of a random walk with negative drift and heavy-tailed increments. The proof gives insight into the principle that the maximum is in general attained through a single large jump.

Full work available at URL: https://arxiv.org/abs/1410.8551

zbMATH Keywords

ruin probabilitysubexponential distributionlong-tailed distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Cited In (24)

• Notes on random walks in the Cauchy domain of attraction
• Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions
• A note on the von Weizsäcker theorem
• Estimates for the tail probability of the supremum of a random walk with independent increments
• On the finiteness and tails of perpetuities under a Lamperti–Kiu MAP
• Multivariate subexponential distributions and their applications
• A note on Veronese varieties
• Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
• Tail asymptotics for exponential functionals of Lévy processes
• Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments
• Lévy Processes with Two-Sided Reflection
• Importance sampling of heavy-tailed iterated random functions
• Ruin probabilities for risk process in a regime-switching environment
• On a certain theorem of Colin de Verdière
• Tail Asymptotics of the Supremum of a Regenerative Process
• Title not available (Why is that?)
• Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
• Discrete and continuous time modulated random walks with heavy-tailed increments
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Veraverbeke's theorem at large: on the maximum of some processes with negative drift and heavy tail innovations
• Tail Asymptotics for a Random Sign Lindley Recursion
• Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions
• Asymptotic behavior of generalized processor sharing queues under subexponential assumptions
• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk

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