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Sibirskii Matematicheskii Zhurnal, 2004, Volume 45, Number 6, Pages 1401–1420 (Mi smj1150)  

This article is cited in 10 scientific papers (total in 10 papers)

Estimates for the distributions of the sums of subexponential random variables

V. V. Shneer

Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
References:
Abstract: Let $\{S_n\}_{n\geqslant1}$ be a random walk with independent identically distributed increments $\{\xi_i\}_{i\geqslant1}$. We study the ratios of the probabilities $\mathbf{P}(S_n>x)/\mathbf{P}(\xi_1>1)$ for all $n$ and $x$. For some subclasses of subexponential distributions we find upper estimates uniform in $x$ for the ratios which improve the available estimates for the whole class of subexponential distributions. We give some conditions sufficient for the asymptotic equivalence $\mathbf{P}(S_{\tau}>x)\sim\mathbf{E}_{\tau}\mathbf{P}(\xi_1>x)$ as $x\to\infty$. Here $\tau$ is a positive integer-valued random variable independent of $\{\xi_i\}_{i\geqslant1}$. The estimates obtained are also used to find the asymptotics of the tail distribution of the maximum of a random walk modulated by a regenerative process.
Keywords: subexponential distribution, distribution with long tail, distribution of dominated variation, sums of random variables, random walk, modulated random walk, supremum of random walk.
Received: 01.10.2003
Revised: 24.03.2004
English version:
Siberian Mathematical Journal, 2004, Volume 45, Issue 6, Pages 1143–1158
DOI: https://doi.org/10.1023/B:SIMJ.0000048931.70386.68
Bibliographic databases:
UDC: 519.21
Language: Russian
Citation: V. V. Shneer, “Estimates for the distributions of the sums of subexponential random variables”, Sibirsk. Mat. Zh., 45:6 (2004), 1401–1420; Siberian Math. J., 45:6 (2004), 1143–1158
Citation in format AMSBIB
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\by V.~V.~Shneer
\paper Estimates for the distributions of the sums of subexponential random variables
\jour Sibirsk. Mat. Zh.
\yr 2004
\vol 45
\issue 6
\pages 1401--1420
\mathnet{http://mi.mathnet.ru/smj1150}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2123303}
\zmath{https://zbmath.org/?q=an:1126.62327}
\transl
\jour Siberian Math. J.
\yr 2004
\vol 45
\issue 6
\pages 1143--1158
\crossref{https://doi.org/10.1023/B:SIMJ.0000048931.70386.68}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000225820500018}
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  • https://www.mathnet.ru/eng/smj/v45/i6/p1401
  • This publication is cited in the following 10 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Сибирский математический журнал Siberian Mathematical Journal
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