Lower Limits for Distribution Tails of Randomly Stopped Sums

DOI10.1137/S0040585X97983328MaRDI QIDQ3605054zbMATH OpenOpenAlexFDO

Authors Denis E. Denisov, Dmitry Korshunov, Sergey Foss

Publication date 19 February 2009

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.4491

zbMATH Keywords

convolution tailheavy-tailed and light-tailed distributionslower limitrandom sums of random variables

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Abstract: We study lower limits for the ratio $$ of tail distributions where $F^{\ast au}$ is a distribution of a sum of a random size $au$ of i.i.d. random variables having a common distribution $F$, and a random variable $au$ does not depend on summands.

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(13)

• On lower limits and equivalences for distribution tails of randomly stopped sums
• Asymptotic behavior for sums of non-identically distributed random variables
• Regularly distributed randomly stopped sum, minimum, and maximum
• Lower bounds for the total stopping time of 3𝑥+1 iterates
• Estimating tails of independently stopped random walks using concave approximations of hazard functions
• An analog of Wald's identity for random walks with infinite mean
• Estimates for distributions of sums of random variables with subexponential distributions.
• Higher Moments of Randomly Stopped Sums
• Asymptotics of randomly stopped sums in the presence of heavy tails
• A note on randomly stopped sums with zero mean increments
• Positively decreasing and related distributions under dependence
• Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
• Lower limits and upper limits for tails of random sums supported on R

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