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.
Categories: math.PR