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We develop an efficient simulation algorithm for computing the tail probabilities of the infinite series $S = \sum_{n \geq 1} a_n X_n$ when random variables $X_n$ are heavy-tailed. As $S$ is the sum of infinitely many random variables, any…

We obtain complementary recurrence and transience criteria for processes $X=(X_n)_{n \ge 0}$ with values in $\mathbb R^d_+$ fulfilling a non-linear equation $X_{n+1}=MX_n+g(X_n)+ \xi_{n+1}$. Here $M$ denotes a primitive matrix having…

Recent theoretical studies have shown that heavy-tails can emerge in stochastic optimization due to `multiplicative noise', even under surprisingly simple settings, such as linear regression with Gaussian data. While these studies have…

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 the higher order Tur\'an inequality and higher order log-concavity for sequences $\{a_n\}_{n \ge 0}$ such that \[ \frac{a_{n-1}a_{n+1}}{a_n^2} = 1 + \sum_{i=1}^m \frac{r_i(\log n)}{n^{\alpha_i}} + o\left( \frac{1}{n^{\beta}}…

The late-time tail behavior of massive scalar fields is studied analytically in a stationary axisymmetric EMDA black hole geometry. It is shown that the asymptotic behavior of massive perturbations is dominated by the oscillatory inverse…

Learning the tail behavior of a distribution is a notoriously difficult problem. By definition, the number of samples from the tail is small, and deep generative models, such as normalizing flows, tend to concentrate on learning the body of…

Motivated by the connection to a probabilistic model of phylogenetic trees introduced by Aldous, we study the recursive sequence governed by the rule $x_n = \sum_{i=1}^{n-1} \frac{1}{h_{n-1}(n-i)} x_i$ where $h_{n-1} = \sum_{j=1}^{n-1}…

We take an $L_1$-dense class of functions $\Cal F$ on a measurable space $(X,\Cal X)$ and a sequence of i.i.d. $X$-valued random variables $\xi_1,\dots,\xi_n$, and give a good estimate on the tail behaviour of $\sup\limits_{f\in\Cal…

Let $P\in\Z[n]$ with $P(0)=0$ and $\VE>0$. We show, using Fourier analytic techniques, that if $N\geq \exp\exp(C\VE^{-1}\log\VE^{-1})$ and $A\subseteq\{1,\...,N\}$, then there must exist $n\in\N$ such that \[\frac{|A\cap…

We consider a time-homogeneous Markov chain $X_n$, $n\ge0$, valued in ${\bf R}$. Suppose that this chain is transient, that is, $X_n$ generates a $\sigma$-finite renewal measure. We prove the key renewal theorem under condition that this…

This paper studies the light-tailed asymptotics of the stationary tail probability vectors of a Markov chain of M/G/1 type. Almost all related studies have focused on the typical case, where the transition block matrices in the non-boundary…

We provide the exact large-time behavior of the tail distribution of the extinction time of a self-similar fragmentation process with a negative index of self-similarity, improving thus a previous result on the logarithmic asymptotic…

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…

We formalize the tail redundancy of a collection of distributions over a countably infinite alphabet, and show that this fundamental quantity characterizes the asymptotic per-symbol redundancy of universally compressing sequences generated…

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 $[0,\infty)^d$…

The exact expression for the probability density $p_{_N}(x)$ for sums of a finite number $N$ of random independent terms is obtained. It is shown that the very tail of $p_{_N}(x)$ has a Gaussian form if and only if all the random terms are…

In this paper, we examine two problems on applied probability, which are directly connected with the dependence in presence of heavy tails. The first problem, is related to max-sum equivalence of the randomly weighted sums in bi-variate set…

We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with…

We investigate the asymptotic tail behavior of massive scalar fields in Schwarzschild background. It is shown that the oscillatory tail of the scalar field has the decay rate of $t^{-5/6}$ at asymptotically late times, and the oscillation…