相关论文: Transformations des lois multivari\'ees avec queue…

We propose an approach to compute the conditional moments of fat-tailed phenomena that, only looking at data, could be mistakenly considered as having infinite mean. This type of problems manifests itself when a random variable Y has a…

The purpose of this letter is to improve Hoeffding's lemma and consequently Hoeffding's tail bounds. The improvement pertains to left skewed zero mean random variables $X\in[a,b]$, where $a<0$ and $-a>b$. The proof of Hoeffding's improved…

We provide conditions which yield a strong law of large numbers for expressions of the form $1/N\sum_{n=1}^{N}F\big(X(q_1(n)),..., X(q_\ell(n))\big)$ where $X(n),n\geq 0$'s is a sufficiently fast mixing vector process with some moment…

Rational approximations to a square root $\sqrt{k}$ can be produced by iterating the transformation $f(x) = (dx+k)/(x+d)$ starting from $\infty$ for any positive integer $d$. We show that these approximations coincide infinitely often with…

The extremes of a univariate Markov chain with regulary varying stationary marginal distribution and asymptotically linear behavior are known to exhibit a multiplicative random walk structure called the tail chain. In this paper, we extend…

We consider risk-neutral returns and show how their tail asymptotics translate directly to asymptotics of the implied volatility smile, thereby sharpening Roger Lee's celebrated moment formula. The theory of regular variation provides the…

We obtain a number of new general properties, related to the closedness of the class of long-tailed distributions under convolutions, that are of interest themselves and may be applied in many models that deal with "plus" and/or "max"…

Conditions for geometric ergodicity of multivariate autoregressive conditional heteroskedasticity (ARCH) processes, with the so-called BEKK (Baba, Engle, Kraft, and Kroner) parametrization, are considered. We show for a class of BEKK-ARCH…

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…

We study two models of random multiplicative functions: Rademacher random multiplicative functions supported on the squarefree integers $f$, and Rademacher random completely multiplicative functions $f^*$. We prove that the partial sums…

We consider a distribution equation which was initially studied by Bertoin \cite{Bertoin}: \[M \stackrel{d}{=} \max\{\widetilde{\nu}, \max_{1\leq k\leq \nu}M_k\}.\] where $\{M_k\}_{k\geq 1}$ are i.i.d. copies of $M$ and independent of…

In this PhD thesis we introduce a generalized fractional calculus of variations. We consider variational problems containing generalized fractional integrals and derivatives, and study them using standard (indirect) and direct methods. In…

We consider the algebras $M_p$ of Fourier multipliers and show that every bounded continuous function $f$ on $\mathbb R^d$ can be transformed by an appropriate homeomorphic change of variable into a function that belongs to $M_p(\mathbb…

For a distribution $F^{*\tau}$ of a random sum $S_{\tau}=\xi_1+...+\xi_{\tau}$ of i.i.d. random variables with a common distribution $F$ on the half-line $[0,\infty)$, we study the limits of the ratios of tails…

In many stochastic models, the observables of interest are naturally encoded in double transforms (e.g., Laplace transforms) that couple spatial and temporal variables. Notably, the double transform often provides the only analytically…

Let $f(n)$ be a strongly additive complex valued arithmetic function. Under mild conditions on $f$, we prove the following weighted strong law of large numbers: if $ X,X_1,X_2,... $ is any sequence of integrable i.i.d. random variables,…

In this paper, we consider the linearly reinforced and the once-reinforced random walk models in the transient phase on trees. We show the large deviations for the upper tails for both models. We also show the exponential decay for the…

In this thesis, the tail properties of multivariate Archimedean copulas are investigated using known representation theorems involving L1-norm symmetric distributions and the Williamson d-transform. Several new results on the asymptotic…

We obtain an exact formula for the Fourier transform of multiradial functions, i.e., functions of the form $\Phi(x)=\phi(|x_1|, \dots, |x_m|)$, $x_i\in \mathbf R^{n_i}$, in terms of the Fourier transform of the function $\phi$ on $\mathbf…

We propose a variational tail bound for norms of random vectors under moment assumptions on their one-dimensional marginals. A simplified version of the bound that parametrizes the ``aggregating distribution'' using a certain pushforward of…