The exact asymptotics of the large deviation probabilities in the multivariate boundary crossing problem

DOI10.1017/apr.2019.28zbMath1427.60050arXiv1708.09605OpenAlexW2972267520WikidataQ127307764 ScholiaQ127307764MaRDI QIDQ5203958

Yuqing Pan, Konstantin A. Borovkov

Publication date: 9 December 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.09605

zbMATH Keywords

large deviationboundary crossingexact asymptoticsmultivariate random walksecond rate functionCramér moment conditionmultivariate ruin problem

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Large deviations (60F10)

Related Items (7)

Pandemic-type failures in multivariate Brownian risk models ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ Extremes of vector-valued Gaussian processes ⋮ Simultaneous ruin probability for two-dimensional brownian risk model ⋮ The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process: the Cramér case ⋮ Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics ⋮ Ruin probabilities for risk processes in a bipartite network

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