A note on Veraverbeke's theorem

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.

References in corpus (1)

• Moments and tails in monotone-separable stochastic networks

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