Randomly stopped sums with consistently varying distributions

DOI10.15559/16-VMSTA60zbMath1349.60083arXiv1607.03619OpenAlexW2472143408MaRDI QIDQ340828

Jonas Sprindys, Jonas Šiaulys, Edita Kizinevič

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.03619

zbMATH Keywords

heavy tailinhomogeneous distributionsconsistently varying tailconvolution closurerandom convolution closurerandomly stopped sum

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Convolution as an integral transform (44A35) Sums of independent random variables; random walks (60G50) Limit theorems in probability theory (60F99)

Related Items (5)

Closure property of consistently varying random variables based on precise large deviation principles ⋮ Randomly stopped maximum and maximum of sums with consistently varying distributions ⋮ Randomly stopped sums with exponential-type distributions ⋮ Randomly stopped minima and maxima with exponential-type distributions ⋮ Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments

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