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On the maximum of sums of random variables and the supremum functional for stable processes

Published online by Cambridge University Press:  14 July 2016

C.C. Heyde
C.C. Heyde*
Affiliation:
University of Manchester
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Let Xi, i = 1, 2, 3, … be a sequence of independent and identically distributed random variables which belong to the domain of attraction of a stable law of index a. Write S0= 0, Sn = Σ i=1nXi, n ≧ 1, and Mn = max0 ≦ k ≦ nSk. In the case where the Xi are such that Σ1∞n−1Pr(Sn > 0) < ∞, we have limn→∞Mn = M which is finite with probability one, while in the case where Σ1∞n−1Pr(Sn < 0) < ∞, a limit theorem for Mn has been obtained by Heyde [9]. The techniques used in [9], however, break down in the case Σ1∞n−1Pr(Sn < 0) < ∞, Σ1∞n−1Pr(Sn > 0) < ∞ (the case of oscillation of the random walk generated by the Sn) and the only results available deal with the case α = 2 (Erdos and Kac [5]) and the case where the Xi themselves have a symmetric stable distribution (Darling [4]). In this paper we obtain a general limit theorem for Mn in the case of oscillation.

Type
Research Papers
Information
Journal of Applied Probability , Volume 6 , Issue 2 , August 1969 , pp. 419 - 429
Copyright
Copyright © Sheffield: Applied Probability Trust 

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