Maxima over random time intervals for heavy-tailed compound renewal and L\'evy processes

arXiv2303.17315MaRDI QIDQ6509429

Dmitry Korshunov, Zbigniew Palmowski, Sergey Foss

Abstract: We derive the subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a L'evy process, both with negative drift, over random time horizon $au$ that does not depend on the future increments of the process. Our asymptotic results are uniform over the whole class of such random times. Particular examples are given by stopping times and by $au$ independent of the processes. We link our results with the random walk theory.

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