Related papers: Precise local large deviations for random sums wit…
We obtain an uniform tail estimates for natural normed sums of independent random variables (r.v.) with regular varying tails of distributions. We give also many examples on order to show the exactness of offered estimates and discuss some…
We establish large deviation formulas for linear statistics on the $N$ transmission eigenvalues $\{T_i\}$ of a chaotic cavity, in the framework of Random Matrix Theory. Given any linear statistics of interest $A=\sum_{i=1}^N a(T_i)$, the…
We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that variances are bounded below. From a standard large…
The event of large losses plays an important role in credit risk. As these large losses are typically rare, and portfolios usually consist of a large number of positions, large deviation theory is the natural tool to analyze the tail…
We establish sharp large deviation asymptotics for the maximum order statistic of independent and identically distributed heavy-tailed random variables, valid for all Borel subsets of the right tail. This result yields exact decay rates for…
Asymptotics deviation probabilities of the sum S n = X 1 + $\times$ $\times$ $\times$ + X n of independent and identically distributed real-valued random variables have been extensively investigated , in particular when X 1 is not…
Consider the task of generating samples from a tilted distribution of a random vector whose underlying distribution is unknown, but samples from it are available. This finds applications in fields such as finance and climate science, and in…
Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the ratio $X/Y$ is derived. Some basic distributional properties are also derived, including…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
Finite differences have been widely used in mathematical theory as well as in scientific and engineering computations. These concepts are constantly mentioned in calculus. Most frequently-used difference formulas provide excellent…
We give a complete expansion, at any accuracy order, for the iterated convolution of a complex valued integrable sequence in one space dimension. The remainders are estimated sharply with generalized Gaussian bounds. The result applies in…
We analytically derive, in the context of the replica formalism, the first finite size corrections to the average optimal cost in the random assignment problem for a quite generic distribution law for the costs. We show that, when moving…
We suggest approximating the distribution of the sum of independent and identically distributed random variables with a Pareto-like tail by combining extreme value approximations for the largest summands with a normal approximation for the…
Localized sufficient conditions for the large deviation principle of the given stochastic differential equations will be presented for stochastic differential equations with non-Lipschitzian and time-inhomogeneous coefficients, which is…
We analyze the \textit{Large Deviation Probability (LDP)} of linear factor models generated from non-identically distributed components with \textit{regularly-varying} tails, a large subclass of heavy tailed distributions. An efficient…
We obtain large deviations theorems for nonconventional sums with underlying process being a Markov process satisfying the Doeblin condition or a dynamical system such as subshift of finite type or hyperbolic or expanding transformation.
We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as difference of two stochastic short rates. Such a setting is…
Large random matrices appear in different fields of mathematics and physics such as combinatorics, probability theory, statistics, operator theory, number theory, quantum field theory, string theory etc... In the last ten years, they…
We study the probability distribution $P$ of the sum of a large number of non-identically distributed random variables $n_m$. Condensation of fluctuations, the phenomenon whereby one of such variables provides a macroscopic contribution to…
We present an analytical technique to compute the probability of rare events in which the largest eigenvalue of a random matrix is atypically large (i.e.\ the right tail of its large deviations). The results also transfer to the left tail…