Related papers: Iterated Random Functions and Slowly Varying Tails

Tail Gini functional is a measure of tail risk variability for systemic risks, and has many applications in banking, finance and insurance. Meanwhile, there is growing attention on aymptotic independent pairs in quantitative risk…

We study the asymptotic tail probability of the first-passage time over a moving boundary for a random walk conditioned to return to zero, where the increments of the random walk have finite variance. Typically, the asymptotic tail behavior…

This paper presents an elementary proof of Lifschitz tail behavior for random discrete Schr\"{o}dinger operators with a Bernoulli-distributed potential. The proof approximates the low eigenvalues by eigenvalues of sine waves supported where…

Let $\{X_t, t \geq 1\}$ be a sequence of identically distributed and pairwise asymptotically independent random variables with regularly varying tails and $\{ \Theta_t, t\geq1 \}$ be a sequence of positive random variables independent of…

This article introduces a non-parametric information-theoretic approach to inference about the tail of a continuous or a discrete distribution. Leveraging a new concept named tail profile -- a set of information-theoretic quantities…

We provide new, mild conditions for strict stationarity and ergodicity of a class of BEKK processes. By exploiting that the processes can be represented as multivariate stochastic recurrence equations, we characterize the tail behavior of…

In this paper, we consider the state-dependent reflecting random walk on a half-strip. We provide explicit criteria for (positive) recurrence, and an explicit expression for the stationary distribution. As a consequence, the light-tailed…

We derive the tail inequalities between two random variables starting from inequalities between its moment, or more generally between its Lebesgue-Riesz norms, which holds true on certain sets of parameters. We consider some applications…

We consider the tail distribution of the edge cover time of a specific non-Markov process, $\delta$ once-reinforced random walk, on finite connected graphs, whose transition probability is proportional to weights of edges. Here the weights…

In this paper, according to a certain criterion, we divide the exponential distribution class into three subclasses. One of them is closely related to the regular-variation-tailed distribution class, so it is called the…

We investigate a way of comparing and classifying tails of random variables. Our approach extends the notion of classical indices, such as exponential and moment indices, which are widely used measuring heaviness of tail functions. A…

We study the random variables (r.v.) with values in the so-called mixed (anisotropic) Lebesgue-Riesz spaces: formulate the sufficient conditions for belonging of the r.v. to these spaces, estimate the tail of norms distribution, especially…

We consider phase-type scale mixture distributions which correspond to distributions of a product of two independent random variables: a phase-type random variable $Y$ and a nonnegative but otherwise arbitrary random variable $S$ called the…

In this paper we study the asymptotic behavior of stochastic approximation schemes with set-valued drift function and non-additive iterate-dependent Markov noise. We show that a linearly interpolated trajectory of such a recursion is an…

Let us consider a homogeneous Markov chain with discrete time and with a finite set of states $E_0,\ldots,E_n$ such that the state $E_0$ is absorbing, states $E_1,\ldots,E_n$ are nonrecurrent. The goal of this work is to study frequencies…

We consider two independent random variables with the given tail asymptotic (e.g. power or exponential). We find tail asymptotic for their sum and product. This is done by some cumbersome but purely technical computations and requires the…

In previous work Majda and McLaughlin computed explicit expressions for the $2N$th moments of a passive scalar advected by a linear shear flow in the form of an integral over ${\bf R}^N$. In this paper we first compute the asymptotics of…

This paper studies properties of functions having monotone tails. We extend Theorem 1 of Dhaene et al. (2002a) and show how the tail quantiles of a random variable transformed with a monotone tail function can be expressed as the…

A switching random walk, commonly known under the misnomer `oscillating random walk', is a real-valued Markov chain whose distribution of increments is determined by the sign of the current position. We explicitly identify an invariant…

In this paper, we consider the $(1,R)$ state-dependent reflecting random walk (RW) on the half line, allowing the size of jumps to the right at maximal $R$ and to the left only 1. We provide an explicit criterion for positive recurrence and…