The maximum on a random time interval of a random walk with long-tailed increments and negative drift
classification
🧮 math.PR
keywords
randomtimedriftincrementsintervallong-tailedmaximumnegative
read the original 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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