On extremes of a random walk with positive drift over an intermediate regularly varying time interval

Abstract

We consider a random walk $\{S_n\}$ with a finite positive drift that is stopped at a random time $\tau$ having an intermediate regularly varying distribution. We assume that the jump distribution is lighter-tailed than the distribution of $\tau$. Under these conditions, we show that the tails of the distributions of $S_{\tau}$ and $M_{\tau} = \max_{k\le \tau} S_k$ are asymptotically equivalent and are determined by the tail of $\tau$, while the random walk $\{S_n\}$ contributes only through the law of large numbers.