相关论文: Precise asymptotics for the density and the upper …
This paper states asymptotic equivalents for the three first moments of the Eescher transform of a distribution on R with smooth density in the upper tail. As a by product if provides a tail approximation for its moment generating function,…
There exist only a few known examples of subordinators for which the transition probability density can be computed explicitly along side an expression for its L\'evy measure and Laplace exponent. Such examples are useful in several areas…
Power-law tail behavior and the summation scheme of Levy-stable distributions is the basis for their frequent use as models when fat tails above a Gaussian distribution are observed. However, recent studies suggest that financial asset…
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…
In this paper we establish local estimates for the first passage time of a subordinator under the assumption that it belongs to the Feller class, either at zero or infinity, having as a particular case the subordinators which are in the…
We consider the exponential functional $A_{\infty}=\int_0^{\infty} e^{\xi_s} ds$ associated to a Levy process $(\xi_t)_{t \geq 0}$. We find the asymptotic behavior of the tail of this random variable, under some assumptions on the process…
We derive subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a L\'evy process, both with negative drift, over random time horizon $\tau$ that does not depend on the…
Consider a probability distribution subordinate to a subexponential distribution with finite mean. In this paper, we discuss the second order tail behavior of the subordinated distribution within a rather general framework in which we do…
In this paper, we study estimates on tail probabilities $\mathbb{P}(S_r \ge t)$ of several classes of subordinators under mild assumptions on the tail of its L\'evy measure. As an application of that result, we obtain two-sided estimates…
This paper addresses heavy-tailed large deviation estimates for the distribution tail of functionals of a class of spectrally one-sided L\'evy process. Our contribution is to show that these estimates remain valid in a near-critical regime.…
For differentiable dynamical systems with dominated splittings, we give upper estimates on the measure-theoretic tail entropy in terms of Lyapunov exponents. As our primary application, we verify the upper semi-continuity of metric entropy…
We study a first passage time of a L\'evy process over a positive constant level. In the spectrally negative case we give conditions for absolutely continuity of the distributions of the first passage times. The tail asymptotics of their…
We obtain asymptotic approximations for the probability density function of the product of two correlated normal random variables with non-zero means and arbitrary variances. As a consequence, we deduce asymptotic approximations for the…
Exponential, and not Gaussian, decay of probability density functions was studied by Laplace in the context of his analysis of errors. Such Laplace propagators for the diffusive motion of single particles in disordered media were recently…
We derive in this article the asymptotic behavior as well as non-asymptotical estimates of tail of distribution for self-normalized sums of random variables (r.v.) under natural classical norming. We investigate also the case of…
We study the small-scale asymptotic behaviour of the cosmic density-fluctuation power spectrum in the Zel'dovich approximation. For doing so, we extend Laplace's method in arbitrary dimensions and use it to prove that this power spectrum…
We study deviation of U-statistics when samples have heavy-tailed distribution so the kernel of the U-statistic does not have bounded exponential moments at any positive point. We obtain an exponential upper bound for the tail of the…
For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of…
In this paper, we consider transient subordinate Brownian motion X in R^d, d \geq 1, where the Laplace exponent \phi of the corresponding subordinator satisfies some mild conditions. The scaleinvariant Harnack inequality is proved for X. We…
In this paper, the local asymptotic estimation for the supremum of a random walk and its applications are presented. The summands of the random walk have common long-tailed and generalized strong subexponential distribution. This…