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

DOI10.1017/JPR.2019.19MaRDI QIDQ4968524zbMATHOpenAlexFDO

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

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)

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• A first course in stochastic models.
• Asymptotic analysis. Reprint
• Asymptotic expansions and hazard rates for compound and first-passage distributions
• Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions
• Complete corrected diffusion approximations for the maximum of a random walk
• Corrected diffusion approximations in certain random walk problems
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Exact distributions of Wilks's likelihood ratio criterion
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint Approximations with Applications
• The Fourier-series method for inverting transforms of probability distributions
• Uniform asymptotic expansions of integrals with stationary point near algebraic singularity

Cited in

(5)

• Approximate double-transform inversion when time is one of the variables
• Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions
• 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
• Asymptotic analysis by the saddle point method of the Anick-Mitra-Sondhi model

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