On exceedance times for some processes with dependent increments

Søren Asmussen, Sergey Foss

Let ${Z_n}_{n\ge 0}$ be a random walk with a negative drift and i.i.d. increments with heavy-tailed distribution and let $M={\sup }_{n\ge 0}{Z}_n$ be its supremum. Asmussen & Kl{ü}ppelb…