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

DOI10.33048/SEMI.2019.16.126MaRDI QIDQ2279488zbMATH OpenOpenAlexFDO

Authors Pavel Tesemnikov

Publication date 12 December 2019

Published in Sibirskie Elektronnye Matematicheskie Izvestiya (Search for Journal in Brave)

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

zbMATH Keywords

convolution equivalenceheavy-tailed distributionsconvolution 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)

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Cites work

• An introduction to heavy-tailed and subexponential distributions
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Subexponential distributions and integrated tails
• 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

Cited in

(4)

• Estimating tails of independently stopped random walks using concave approximations of hazard functions
• Asymptotics of randomly stopped sums in the presence of heavy tails
• Maxima of Sums of Heavy-Tailed Random Variables
• Randomly stopped maximum and maximum of sums with consistently varying distributions

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