Randomly stopped maximum and maximum of sums with consistently varying distributions

Abstract

Let $\{\xi_1,\xi_2,\ldots\}$ be a sequence of independent random variables, and $\eta$ be a counting random variable independent of this sequence. In addition, let $S_0:=0$ and $S_n:=\xi_1+\xi_2+\cdots+\xi_n$ for $n\geqslant1$. We consider conditions for random variables $\{\xi_1,\xi_2,\ldots\}$ and $\eta$ under which the distribution functions of the random maximum $\xi_{(\eta)}:=\max\{0,\xi_1,\xi_2,\ldots,\xi_{\eta}\}$ and of the random maximum of sums $S_{(\eta)}:=\max\{S_0,S_1,S_2,\ldots,S_{\eta}\}$ belong to the class of consistently varying distributions. In our consideration the random variables $\{\xi_1,\xi_2,\ldots\}$ are not necessarily identically distributed.Comment: Published at http://dx.doi.org/10.15559/17-VMSTA74 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/