Accepted author manuscript, 345 KB, PDF document
Available under license: CC BY: Creative Commons Attribution 4.0 International License
Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
| Article number | 104422 |
|---|---|
| <mark>Journal publication date</mark> | 31/10/2024 |
| <mark>Journal</mark> | Stochastic Processes and their Applications |
| Volume | 176 |
| Publication Status | Published |
| Early online date | 31/07/24 |
| <mark>Original language</mark> | English |
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, over random time horizon τ that does not depend on the future increments of the process. Our asymptotic results are uniform over the whole class of such random times. Particular examples are given by stopping times and by τ independent of the processes. We link our results with random walk theory.