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The maximum on a random time interval of a random walk with long-tailed increments and negative drift

Published 18 Mar 2013 in math.PR | (1303.4432v1)

Abstract: We study the asymptotics for the maximum on a random time interval of a random walk with a long-tailed distribution of its increments and negative drift. We extend to a general stopping time a result by Asmussen (1998), simplify its proof, and give some converses.

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Authors (2)

  1. Sergey Foss 
  2. Stan Zachary 

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