Estimates for the distributions of the sums of subexponential random variables

被引:9
作者
Shneer, VV
机构
[1] Heriot-Watt University, Edinburgh
关键词
subexponential distribution; distribution with long tail; distribution of dominated variation; sums of random variables; random walk; modulated random walk; supremum of random walk;
D O I
10.1023/B:SIMJ.0000048931.70386.68
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
Let {S-n}(ngreater than or equal to1) be a random walk with independent identically distributed increments {xi(i)}(igreater than or equal to1). We study the ratios of the probabilities P(S-n > x)/P( xi(1) > x) for all n and x. For some subclasses of subexponential distributions we find upper estimates uniform in x for the ratios which improve the available estimates for the whole class of subexponential distributions. We give some conditions sufficient for the asymptotic equivalence P(S-tau > x) similar to EtauP( xi(1) > x) as x --> infinity. Here tau is a positive integer-valued random variable independent of {xi(i)}(igreater than or equal to1). The estimates obtained are also used to find the asymptotics of the tail distribution of the maximum of a random walk modulated by a regenerative process.
引用
收藏
页码:1143 / 1158
页数:16
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