On the distribution tail of the sum of the maxima of two randomly stopped sums in the presence of heavy tails

DOI10.33048/semi.2019.16.126zbMath1427.60079OpenAlexW3015375212MaRDI QIDQ2279488

Pavel Tesemnikov

Publication date: 12 December 2019

Published in: Sibirskie Èlektronnye Matematicheskie Izvestiya (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.33048/semi.2019.16.126

zbMATH Keywords

heavy-tailed distributionsconvolution equivalenceconvolution tailrandom sums of random variablesprinciple of single big jumpsubexponential istributions

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50)

Cites Work

• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
• Subexponential distributions and integrated tails
• An Introduction to Heavy-Tailed and Subexponential Distributions

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