论文信息 - Second order behaviour of the tail of a subordinated probability distribution

Second order behaviour of the tail of a subordinated probability distribution

Let G = [Sigma][infinity]n=0pnF*n denote the probability measure subordinate to F with subordinator {Pn}. We investigate the asymptotic behaviour of (1 - G(x))-([Sigma] npn)(1 - F(x)) as x --> [infinity] if 1 - F is regularly varying with index [varrho], 0

E. Omey | E. Omey | E. Willekens | E. Willekens

[1] I. Ibragimov,et al. Independent and stationary sequences of random variables , 1971 .

[2] O. Bunke. Feller, F.: An Introduction to Probability Theory and its Applications, Vol. II, John Wiley & Sons, Inc., New York‐London‐Sydney, 1966. XVIII + 626 S., 3 Abb., 2 Tab., Preis $ 12,00 , 1969 .

[3] N. Veraverbeke. Asymptotic behaviour of Wiener-Hopf factors of a random walk , 1977 .

[4] E. Seneta. Regularly varying functions , 1976 .

[5] Paul Embrechts,et al. On subordinated distributions and random record processes , 1983, Mathematical Proceedings of the Cambridge Philosophical Society.

[6] A. J. Stam. Regular variation of the tail of a subordinated probability distribution , 1973, Advances in Applied Probability.

[7] Irene A. Stegun,et al. Handbook of Mathematical Functions. , 1966 .