Functional limit theorems for the maxima of perturbed random walks and divergent perpetuities in the $M_1$-topology

Let $({\xi }_1,{\eta }_1)$, $({\xi }_2,{\eta }_2),\dots$ be a sequence of i.i.d. two-dimensional random vectors. In the earlier article Iksanov and Pilipenko (2014) weak convergence in the $J_1$-topology on the Skorokhod space of $n^{-1\mathrm{/}2}({\xi }_1+\dots +{\xi }_k+{\eta }_{k+1})$ was proved under the assumption that contributions of $\underset{0\leq k\leq n}{\max},(\xi_1+\ldots+\xi_k)$and$\underset{1\leq k\leq n}{\max},\eta_k$ to the limit are comparable and that $n^{-1\mathrm{/}2}({\xi }_1+\dots +{\xi }_{[n\cdot ]})$ is attracted to a Brownian motion. In the present paper, we continue this line of research and investigate a more complicated situation when ${\xi }_1+\dots +{\xi }_{[n\cdot ]}$, properly normalized without centering, is attracted to a centered stable L'{e}vy process, a process with jumps. As a consequence, weak convergence normally holds in the $M_1$-topology. We also provide sufficient conditions for the $J_1$-convergence. For completeness, less interesting situations are discussed when one of the sequences $\underset{0\leq k\leq n}{\max},(\xi_1+\ldots+\xi_k)$and$\underset{1\leq k\leq n}{\max},\eta_k$ dominates the other. An application of our main results to divergent perpetuities with positive entries is given.