From moment explosion to the asymptotic behavior of the cumulative distribution for a random variable
Probability
2016-08-08 v9
Abstract
We study the Tauberian relations between the moment generating function (MGF) and the complementary cumulative distribution function of a random variable whose MGF is finite only on part of the real line. We relate the right tail behavior of the cumulative distribution function of such a random variable to the behavior of its MGF near the critical moment. We apply our results to an arbitrary superposition of a CIR process and the time-integral of this process.
Keywords
Cite
@article{arxiv.1203.4213,
title = {From moment explosion to the asymptotic behavior of the cumulative distribution for a random variable},
author = {Sidi Mohamed Aly},
journal= {arXiv preprint arXiv:1203.4213},
year = {2016}
}