Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions

DOI10.1017/JPR.2019.19zbMATH Open1418.60010OpenAlexW2961846214MaRDI QIDQ4968524FDOQ4968524

Authors: R. W. Butler 

Publication date: 15 July 2019

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

Full work available at URL: https://doi.org/10.1017/jpr.2019.19

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zbMATH Keywords

asymptotic expansionsaddlepoint approximationanalytic continuationmoment generating functionruin probabilitysteepest descentcompound distributionPollaczek-Khintchine formulatransform inversionSparre AndersenCramér-Lundberg approximationWilks' likelihood ratio test

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)

Cites Work

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• Corrected diffusion approximations in certain random walk problems
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• Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions
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• Asymptotic expansions and hazard rates for compound and first-passage distributions

Cited In (5)

• Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions
• Asymptotic analysis by the saddle point method of the Anick-Mitra-Sondhi model
• Approximate double-transform inversion when time is one of the variables
• Exponential and gamma form for tail expansions of first-passage distributions in semi-markov processes
• Residue expansions and saddlepoint approximations in stochastic models using the analytic continuation of generating functions

Uses Software

• MCQueue

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