Related papers: Regular Variation and Smile Asymptotics
We consider a one-dimensional random walk $S_n$ with i.i.d. increments with zero mean and finite variance. We study the asymptotic expansion for the tail distribution $\mathbf P(\tau_x>n)$ of the first passage times…
This paper provides a generalization of a classical result obtained by Wilks about the asymptotic behavior of the likelihood ratio. The new results deal with the asymptotic behavior of the joint distribution of a vector of likelihood ratios…
Some asymptotic notions for random variables are discussed. In particular, different versions of O and o for sequences of random variables are studied. The results are elementary and more or less well-known, but collected here for future…
Our main aim is to apply the theory of regularly varying functions to the asymptotical analysis at infinity of solutions of Friedmann cosmological equations. A new constant $\Gamma$ is introduced related to the Friedmann cosmological…
In this paper, we study the asymptotic behavior of the sum of twisted traces of self-dual or conjugate self-dual discrete automorphic representations of $\mathrm{GL}_n$ for the level aspect of principal congruence subgroups under some…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…
We discuss Rayleigh-Ritz variational calculations with nonorthogonal basis sets that exhibit the correct asymptotic behaviour. We construct the suitable basis sets for general one-dimensional models and illustrate the application of the…
We derive an asymptotic expansion for the distribution of a compound sum of independent random variables, all having the same light-tailed subexponential distribution. The examples of a Poisson and geometric number of summands serve as an…
The random flights are (continuous time) random walkswith finite velocity. Often, these models describe the stochastic motions arising in biology. In this paper we study the large time asymptotic behavior of random flights. We prove the…
We study the asymptotic behavior of a multidimensional random walk in a general cone. We find the tail asymptotics for the exit time and prove integral and local limit theorems for a random walk conditioned to stay in a cone. The main step…
We analyse a collection of twisted mixed moments of the Riemann zeta function and establish the validity of asymptotic formulae comprising on some instances secondary terms of the shape $P(\log T) T^{C}$ for a suitable constant $C<1$ and a…
In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the…
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…
In this paper, we give a Breiman's theorem for conditional dependent random vector, where one component has a regularly-varying-tailed distribution with the index $\alpha\ge0$ and its slowly varying function satisfies a relaxed condition,…
We study the tail behavior of the distribution of the sum of asymptotically independent risks whose marginal distributions belong to the maximal domain of attraction of the Gumbel distribution. We impose conditions on the distribution of…
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion…
We introduce a concept of asymptotic principal values which enables us to handle rigorously singular integrals of higher-order poles encountered in the computation of various quantities based on correlation functions of a vacuum. Several…
Let $T$ be the Student one- or two-sample $t$-, $F$-, or Welch statistic. Now release the underlying assumptions of normality, independence and identical distribution and consider a more general case where one only assumes that the vector…
In this paper, we consider a simple estimator for tail dependence coefficients of a max-stable time series and show its asymptotic normality under a mild condition. The novelty of our result is that this condition does not involve mixing…