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When an explicit expression for a probability distribution function $F(x)$ can not be found, asymptotic properties of the tail probability function $\bar{F}(x)=1-F(x)$ are very valuable, since they provide approximations or bounds for…
We consider the $\Delta_{(i)}/G/1$ queue, in which a a total of $n$ customers independently demand service after an exponential time. We focus on the case of heavy-tailed service times, and assume that the tail of the service time…
This paper investigates tail asymptotics of stationary distributions and quasi-stationary distributions (QSDs) of continuous-time Markov chains on subsets of the non-negative integers. Based on the so-called flux-balance equation, we…
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…
We consider a Markov chain on $R^+$ with asymptotically zero drift and finite second moments of jumps which is positive recurrent. A power-like asymptotic behaviour of the invariant tail distribution is proven; such a heavy-tailed invariant…
We provide a new extension of Breiman's Theorem on computing tail probabilities of a product of random variables to a multivariate setting. In particular, we give a complete characterization of regular variation on cones in $[0,\infty)^d$…
We consider a family of multivariate distributions with heavy-tailed margins and the type I elliptical dependence structure. This class of risks is common in finance, insurance, environmental and biostatistic applications. We obtain the…
Proliferating cell populations at steady state growth often exhibit broad protein distributions with exponential tails. The sources of this variation and its universality are of much theoretical interest. Here we address the problem by…
We study the upper tail of the number of arithmetic progressions of a given length in a random subset of {1,...,n}, establishing exponential bounds which are best possible up to constant factors in the exponent. The proof also extends to…
An asymptotic model for extreme behavior of certain Markov chains is the "tail chain". Generally taking the form of a multiplicative random walk, it is useful in deriving extremal characteristics such as point process limits. We place this…
In this paper we analyze a branching process with immigration defined recursively by $X_t=\theta_t\circ X_{t-1}+B_t$ for a sequence $(B_t)$ of i.i.d. random variables and random mappings $ \theta_t\circ x:=\theta_t(x)=\sum_{i=1}^xA_i^{(t)},…
Consider distributional fixed point equations of the form R =d f(C_i, R_i, 1 <= i <= N), where f(.) is a possibly random real valued function, N in {0, 1, 2, 3,...} U {infty}, {C_i}_{i=1}^N are real valued random weights and {R_i}_{i >= 1}…
We extend Goldie's implicit renewal theorem to the arithmetic case, which allows us to determine the tail behavior of the solution of various random fixed point equations. It turns out that the arithmetic and nonarithmetic cases are very…
In this paper we present a tail inequality for the maximum of partial sums of a weakly dependent sequence of random variables that are not necessarily bounded. The class considered includes geometrically and subgeometrically strongly mixing…
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 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…
We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior…
We consider a multi-type branching random walk with displacements that have either regularly varying or semi-exponential tails. We investigate the asymptotic behavior of the rightmost particle in irreducible and reducible regimes and…
We derive the asymptotic rate of decay to zero of the tail dependence of the bivariate skew Variance Gamma (VG) distribution under the equal-skewness condition, as an explicit regularly varying function. Our development is in terms of a…
A class of stochastic processes strongly related to random sums plays an important role in network and in finance. In this paper we study this kind of stochastic process discuss an overtime unchanged parameter and reveal its asymptotic…