Related papers: Some asymptotic formulae for Bessel process

Making use of a Rice-like series expansion, for a class of stationary Gaussian processes the asymptotic behavior of the first passage time probability density function through certain time-varying boundaries, including periodic boundaries,…

We obtain the asymptotic expansion for large integer $n$ of a generalised sine-integral \[\int_0^\infty\left(\frac{\sin\,x}{x}\right)^{n}dx\] by utilising the saddle-point method. This expansion is shown to agree with recent results of J.…

In this paper we examine a multivariate risk model, with common renewal counting process, constant interest rate, and each claim vector is accompanied by a random number of delayed claim vectors. The interest is focused on the asymptotic…

Let $X_{1},\ldots ,X_{n}$ be $n$ real-valued dependent random variables. With motivation from Mitra and Resnick (2009), we derive the tail asymptotic expansion for the weighted sum of order statistics $X_{1:n}\leq \cdots \leq X_{n:n}$ of…

Let $B_s$ be a $d$-dimensional Brownian motion and $\omega(dx)$ be an independent Poisson field on $\mathbb{R}^d$. The almost sure asymptotics for the logarithmic moment generating function [\log\math…

The Peaks Over Threshold (POT) method is the most popular statistical method for the analysis of univariate extremes. Even though there is a rich applied literature on Bayesian inference for the POT, the asymptotic theory for such proposals…

Understanding rare events is critical across domains ranging from signal processing to reliability and structural safety, extreme-weather forecasting, and insurance. The analysis of rare events is a computationally challenging problem,…

We study the asymptotics for the maximum on a random time interval of a random walk with a long-tailed distribution of its increments and negative drift. We extend to a general stopping time a result by Asmussen (1998), simplify its proof,…

To draw inference on serial extremal dependence within heavy-tailed Markov chains, Drees, Segers and Warcho{\l} [Extremes (2015) 18, 369--402] proposed nonparametric estimators of the spectral tail process. The methodology can be extended…

We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the…

In this article we study the Dyson Bessel process, which describes the evolution of singular values of rectangular matrix Brownian motions, and prove a large deviation principle for its empirical particle density. We then use it to obtain…

Several important functions, including the gamma function, as well as several infinite sums, admit integral representations involving the Hankel contour. In addition, the large $t$ asymptotic analysis of several recently derived identities…

We re-examine a lower-tail upper bound for the random variable $$X=\prod_{i=1}^{\infty}\min\left\{\sum_{k=1}^iE_k,1\right\},$$ where $E_1,E_2,\ldots\stackrel{iid}\sim\text{Exp}(1)$. This bound has found use in root-finding and seed-finding…

In this note we first consider local times of random walks killed at leaving positive half-axis. We prove that the distribution of the properly rescaled local time at point $N$ conditioned on being positive converges towards an exponential…

We consider the asymptotic behavior of the multidimensional Laplace-type integral with a perturbed phase function. Under suitable assumptions, we derive a higher-order asymptotic expansion with an error estimate, generalizing some previous…

I propose a nonparametric iid bootstrap procedure for the empirical likelihood, the exponential tilting, and the exponentially tilted empirical likelihood estimators that achieves asymptotic refinements for t tests and confidence intervals,…

This paper investigates the asymptotic behavior of higher-order conditional tail moments, which quantify the contribution of individual losses in the event of systemic collapse. The study is conducted within a framework comprising two…

While small ball, or lower tail, asymptotic for Gaussian measures generated by solutions of stochastic ordinary differential equations is relatively well understood, a lot less is known in the case of stochastic partial differential…

A general method is presented for deriving the limiting behavior of estimators that are defined as the values of parameters optimizing an empirical criterion function. The asymptotic behavior of such estimators is typically deduced from…

We study the asymptotic convergence of the partial averaging method, a technique used in conjunction with the random series implementation of the Feynman-Kac formula. We prove asymptotic bounds valid for most series representations in the…