Asymptotic formulas for probabilities of large deviations of ladder heights
Asymptotic formulas for large-deviation probabilities of a ladder height in a random walk generated by a sequence of sums of i.i.d. random variables are deduced. Two cases are considered: a) the distribution F(x) of summands is normal with a zero mean. b) F(x) belongs to the domain of the normal...
Збережено в:
| Дата: | 2008 |
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| Автор: | |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2008
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4541 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | Asymptotic formulas for probabilities of large deviations of ladder heights / S.V. Nagaev // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 1. — С. 100–116. — Бібліогр.: 17 назв.— англ. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| Резюме: | Asymptotic formulas for large-deviation probabilities of a ladder height in a random
walk generated by a sequence of sums of i.i.d. random variables are deduced.
Two cases are considered:
a) the distribution F(x) of summands is normal with a zero mean.
b) F(x) belongs to the domain of the normal attraction of a stable law with
the exponent 0 < α < 1.
The method of Laplace transforms is applied in proofs. |
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