On lower limits and equivalences for distribution tails of randomly stopped sums

DOI10.3150/07-BEJ111zbMath1157.60315arXivmath/0701920OpenAlexW3104741420MaRDI QIDQ1002559

Denis Denisov, Dmitrii Korshunov, Sergeĭ Georgievich Foss

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701920

zbMATH Keywords

subexponential distributionconvolution equivalenceconvolution taillower limitrandomly stopped sums

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (11)

Some discussions on the local distribution classes ⋮ Local subexponentiality and self-decomposability ⋮ Asymptotic behavior for sums of non-identically distributed random variables ⋮ Convolution and convolution-root properties of long-tailed distributions ⋮ Asymptotics of randomly stopped sums in the presence of heavy tails ⋮ Asymptotics for the solutions to defective renewal equations ⋮ Tails of random sums of a heavy-tailed number of light-tailed terms ⋮ Estimating tails of independently stopped random walks using concave approximations of hazard functions ⋮ Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables ⋮ Tail behavior of supremum of a random walk when Cramér's condition fails ⋮ Lower limits and upper limits for tails of random sums supported on \(\mathbb R\)

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