Abstract
Let ξ1,ξ2,… be independent, identically distributed random variables with infinite mean E[|ξ1|]=∞. Consider a random walk Sn=ξ1+⋯+ξn, a stopping time τ=min{n≥1:Sn≤0} and let Mτ=max0≤i≤τSi. We study the asymptotics for P(Mτ>x), as x→∞.
Original language | English |
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Journal | Queueing Systems |
Early online date | 23 Jun 2020 |
DOIs | |
Publication status | E-pub ahead of print - 23 Jun 2020 |