English

Martingale approach to subexponential asymptotics for random walks

Probability 2011-11-30 v1

Abstract

Consider the random walk Sn=ξ1+...+ξnS_n=\xi_1+...+\xi_n with independent and identically distributed increments and negative mean Eξ=m<0\mathbf E\xi=-m<0. Let M=sup0iSiM=\sup_{0\le i} S_i be the supremum of the random walk. In this note we present derivation of asymptotics for P(M>x),x\mathbf P(M>x), x\to\infty for long-tailed distributions. This derivation is based on the martingale arguments and does not require any prior knowledge of the theory of long-tailed distributions. In addition the same approach allows to obtain asymptotics for P(Mτ>x)\mathbf P(M_\tau>x), where Mτ=max0i<τSiM_\tau=\max_{0\le i<\tau}S_i and τ=min{n1:Sn0}\tau=\min\{n\ge 1: S_n\le 0 \}.

Keywords

Cite

@article{arxiv.1111.6810,
  title  = {Martingale approach to subexponential asymptotics for random walks},
  author = {Denis Denisov and Vitali Wachtel},
  journal= {arXiv preprint arXiv:1111.6810},
  year   = {2011}
}

Comments

9 pages

R2 v1 2026-06-21T19:43:15.318Z