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Matematicheskie Trudy, 2008, Volume 11, Number 1, Pages 49–67 (Mi mt116)  

This article is cited in 12 scientific papers (total in 12 papers)

Small deviations of series of independent positive random variables with weights close to exponential

A. A. Borovkovab, P. S. Ruzankinab

a Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
b Novosibirsk State University
References:
Abstract: Let $\xi,\xi_0,\xi_1,\dots$ be independent identically distributed (i.i.d.) positive random variables. The present paper is a continuation of the article [1] in which the asymptotics of probabilities of small deviations of series $S=\sum_{j=0}^{\infty}a(j)\xi_j$ was studied under different assumptions on the rate of decrease of the probability $\mathbb P(\xi<x)$ as $x\to0$, as well as of the coefficients $a(j)\ge0$ as $j\to\infty$. We study the asymptotics of $\mathbb P(S<x)$ as $x\to 0$ under the condition that the coefficients $a(j)$ are close to exponential. In the case when the coefficients $a(j)$ are exponential and $\mathbb P(\xi<x)\sim bx^\alpha$ as $x\to 0$, $b>0$, $\alpha>0$, the asymptotics $\mathbb P(S<x)$ is obtained in an explicit form up to the factor $x^{o(1)}$. Originality of the approach of the present paper consists in employing the theory of delayed differential equations. This approach differs significantly from that in [1].
Key words: small deviations, series of independent random variables, delayed differential equations.
Received: 25.10.2007
English version:
Siberian Advances in Mathematics, 2008, Volume 18, Issue 3, Pages 163–175
DOI: https://doi.org/10.3103/S1055134408030024
Bibliographic databases:
UDC: 519.214
Language: Russian
Citation: A. A. Borovkov, P. S. Ruzankin, “Small deviations of series of independent positive random variables with weights close to exponential”, Mat. Tr., 11:1 (2008), 49–67; Siberian Adv. Math., 18:3 (2008), 163–175
Citation in format AMSBIB
\Bibitem{BorRuz08}
\by A.~A.~Borovkov, P.~S.~Ruzankin
\paper Small deviations of series of independent positive random variables with weights close to exponential
\jour Mat. Tr.
\yr 2008
\vol 11
\issue 1
\pages 49--67
\mathnet{http://mi.mathnet.ru/mt116}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2437481}
\transl
\jour Siberian Adv. Math.
\yr 2008
\vol 18
\issue 3
\pages 163--175
\crossref{https://doi.org/10.3103/S1055134408030024}
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  • This publication is cited in the following 12 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Математические труды Siberian Advances in Mathematics
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    Full-text PDF :125
    References:73
    First page:10
     
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