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...
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| 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| id |
irk-123456789-4541 |
|---|---|
| record_format |
dspace |
| spelling |
irk-123456789-45412009-11-26T12:00:47Z Asymptotic formulas for probabilities of large deviations of ladder heights Nagaev, S.V. 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. 2008 Article 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. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4541 519.21 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| description |
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. |
| format |
Article |
| author |
Nagaev, S.V. |
| spellingShingle |
Nagaev, S.V. Asymptotic formulas for probabilities of large deviations of ladder heights |
| author_facet |
Nagaev, S.V. |
| author_sort |
Nagaev, S.V. |
| title |
Asymptotic formulas for probabilities of large deviations of ladder heights |
| title_short |
Asymptotic formulas for probabilities of large deviations of ladder heights |
| title_full |
Asymptotic formulas for probabilities of large deviations of ladder heights |
| title_fullStr |
Asymptotic formulas for probabilities of large deviations of ladder heights |
| title_full_unstemmed |
Asymptotic formulas for probabilities of large deviations of ladder heights |
| title_sort |
asymptotic formulas for probabilities of large deviations of ladder heights |
| publisher |
Інститут математики НАН України |
| publishDate |
2008 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4541 |
| citation_txt |
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. |
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2023-03-24T08:30:38Z |
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2023-03-24T08:30:38Z |
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