Provides asymptotics for P(M_τ > x) where M_τ is the max of random walk with infinite mean before hitting ≤0.
Markov chains and random walks with heavy-ta iled increments PhD thesis, Heriot-Watt University , 2004
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Maximum on a random time interval of a random walk with infinite mean
Provides asymptotics for P(M_τ > x) where M_τ is the max of random walk with infinite mean before hitting ≤0.