A note on Veraverbeke's theorem
Probability
2014-11-03 v1
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.
Cite
@article{arxiv.1410.8551,
title = {A note on Veraverbeke's theorem},
author = {Stan Zachary},
journal= {arXiv preprint arXiv:1410.8551},
year = {2014}
}