English

Maximum on a random time interval of a random walk with infinite mean

Probability 2019-07-23 v1

Abstract

Let ξ1,ξ2,\xi_1,\xi_2,\ldots be independent, identically distributed random variables with infinite mean E[ξ1]=.\mathbf E[|\xi_1|]=\infty. Consider a random walk Sn=ξ1++ξnS_n=\xi_1+\cdots+\xi_n, a stopping time τ=min{n1:Sn0}\tau=\min\{n\ge 1: S_n\le 0\} and let Mτ=max0iτSiM_\tau=\max_{0\le i\le \tau} S_i. We study the asymptotics for P(Mτ>x),\mathbf P(M_\tau>x), as xx\to\infty.

Keywords

Cite

@article{arxiv.1907.08920,
  title  = {Maximum on a random time interval of a random walk with infinite mean},
  author = {Denis Denisov},
  journal= {arXiv preprint arXiv:1907.08920},
  year   = {2019}
}

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10 pages