We study the asymptotics for the maximum on a random time interval of a random walk with a long-tailed distribution of its increments and negative drift. We extend to a general stopping time a result by Asmussen, simplify its proof and give some converses.
|Number of pages||17|
|Journal||Annals of Applied Probability|
|Publication status||Published - Feb 2003|
- Long-tailed distribution
- Ruin probability
- Subexponential distribution