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A remark on the paper "Renorming divergent perpetuities"

Probability 2014-02-20 v1

Abstract

Let (ξk)(\xi_k) and (ηk)(\eta_k) be infinite independent samples from different distributions. We prove a functional limit theorem for the maximum of a perturbed random walk max0kn(ξ1++ξk+ηk+1)\underset{0\leq k\leq n}{\max}\,(\xi_1+\ldots+\xi_k+\eta_{k+1}) in a situation where its asymptotics is affected by both max0kn(ξ1++ξk)\underset{0\leq k\leq n}{\max}\,(\xi_1+\ldots+\xi_k) and max1knηk\underset{1\leq k\leq n}{\max}\,\eta_k to a comparable extent. This solves an open problem that we learned from the paper "Renorming divergent perpetuities" by P. Hitczenko and J. Weso{\l}owski.

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Cite

@article{arxiv.1402.4698,
  title  = {A remark on the paper "Renorming divergent perpetuities"},
  author = {Alexander Iksanov and Andrey Pilipenko},
  journal= {arXiv preprint arXiv:1402.4698},
  year   = {2014}
}

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6 pages