Tail asymptotics for the supremum of a random walk when the mean is not finite

Denis Denisov, Serguei Foss, Dima Korshunov

Research output: Contribution to journalArticle

43 Citations (Scopus)

Abstract

We consider the sums Sn = ?1 + ? + ?n of independent identically distributed random variables. We do not assume that the ?'s have a finite mean. Under subexponential type conditions on distribution of the summands, we find the asymptotics of the probability P{M > x} as x ? 8, provided that M = sup{S n, n = 1} is a proper random variable. Special attention is paid to the case of tails which are regularly varying at infinity. We provide some sufficient conditions for the integrated weighted tail distribution to be subexponential. We supplement these conditions by a number of examples which cover both the infinite- and the finite-mean cases. In particular, we show that the subexponentiality of distribution F does not imply the subexponentiality of its integrated tail distribution FI.

Original languageEnglish
Pages (from-to)15-33
Number of pages19
JournalQueueing Systems
Volume46
Issue number1-2
Publication statusPublished - Jan 2004

Keywords

  • Integrated weighted tail distribution
  • Large deviation probabilities
  • Subexponential distribution
  • Supremum of sums of random variables

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