2 papers
math.PR2026
On extremes of a random walk with positive drift over an intermediate regularly varying time interval
Sergey Foss, Dmitry Korshunov
We consider a random walk with a finite positive drift that is stopped at a random time having an intermediate regularly varying distribution. We assume that the jum…
math.PR2024
Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
Sergey Foss, Dmitry Korshunov, Zbigniew Palmowski
We derive subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a Lévy process, both with negative drift,…