Martingale approach to subexponential asymptotics for random walks

Abstract

Consider the random walk $S_n=ξ_1+...+ξ_n$ with independent and identically distributed increments and negative mean $\mathbf Eξ=-m<0$. Let $M=\sup_{0\le i} S_i$ be the supremum of the random walk. In this note we present derivation of asymptotics for $\mathbf P(M>x), x\to\infty$ for long-tailed distributions. This derivation is based on the martingale arguments and does not require any prior knowledge of the theory of long-tailed distributions. In addition the same approach allows to obtain asymptotics for $\mathbf P(M_τ>x)$, where $M_τ=\max_{0\le i<τ}S_i$ and $τ=\min\{n\ge 1: S_n\le 0 \}$.