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arXiv · 1410.8551

A note on Veraverbeke's theorem

Stan Zachary
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Abstract

We give an elementary probabilistic proof of Veraverbeke's Theorem for the asymptotic distribution of the maximum of a random walk with negative drift and heavy-tailed increments. The proof gives insight into the principle that the maximum is in general attained through a single large jump.

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Stan Zachary. 2014-10-30. A note on Veraverbeke's theorem. https://doi.org/10.1023/b%3Aques.0000021155.44510.9f

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