The principle of a single big jump: discrete and continuous time modulated random walks with heavy-tailed increments
arXiv:math/0509605
Abstract
We consider a modulated process S which, conditional on a background process X, has independent increments. Assuming that S drifts to -infinity and that its increments (jumps) are heavy-tailed (in a sense made precise in the paper), we exhibit natural conditions under which the asymptotics of the tail distribution of the overall maximum of S can be computed. We present results in discrete and in continuous time. In particular, in the absence of modulation, the process S in continuous time reduces to a Levy process with heavy-tailed Levy measure. A central point of the paper is that we make full use of the so-called ``principle of a single big jump'' in order to obtain both upper and lower bounds. Thus, the proofs are entirely probabilistic. The paper is motivated by queueing and Levy stochastic networks.
29 pages