English

On lower limits and equivalences for distribution tails of randomly stopped sums

Probability 2017-11-29 v3

Abstract

For a distribution FτF^{*\tau} of a random sum Sτ=ξ1+...+ξτS_{\tau}=\xi_1+...+\xi_{\tau} of i.i.d. random variables with a common distribution FF on the half-line [0,)[0,\infty), we study the limits of the ratios of tails Fτˉ(x)/Fˉ(x)\bar{F^{*\tau}}(x)/\bar{F}(x) as xx\to\infty (here, τ\tau is a counting random variable which does not depend on {ξn}n1\{\xi_n\}_{n\ge1}). We also consider applications of the results obtained to random walks, compound Poisson distributions, infinitely divisible laws, and subcritical branching processes.

Keywords

Cite

@article{arxiv.math/0701920,
  title  = {On lower limits and equivalences for distribution tails of randomly stopped sums},
  author = {Denis Denisov and Sergey Foss and Dmitry Korshunov},
  journal= {arXiv preprint arXiv:math/0701920},
  year   = {2017}
}

Comments

Published in at http://dx.doi.org/10.3150/07-BEJ111 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)