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

DOI10.1017/JPR.2019.19MaRDI QIDQ4968524zbMATH OpenOpenAlexFDO

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

analytic continuationasymptotic expansioncompound distributionCramér-Lundberg approximationmoment generating functionPollaczek-Khintchine formularuin probabilitysaddlepoint approximationSparre Andersensteepest descenttransform inversionWilks' likelihood ratio test

Mathematics Subject Classification ID

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

Recommendations

• Residue expansions and saddlepoint approximations in stochastic models using the analytic continuation of generating functions
• Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions
• Saddlepoint approximations
• Inverting a saddlepoint approximation.
• Saddlepoint approximation in exponential models with boundary points

Cites work

• 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
• scientific article; zbMATH DE number 1122116 (Why is no real title available?)
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• scientific article; zbMATH DE number 2063761 (Why is no real title available?)
• scientific article; zbMATH DE number 3437808 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3199826 (Why is no real title available?)
• 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

(6)

• Asymptotic analysis by the saddle point method of the Anick-Mitra-Sondhi model
• 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
• Approximate double-transform inversion when time is one of the variables
• Distribution theory for dependent renewal-reward processes and their first-passage times using saddlepoint and residue expansions

Describes a project that uses

Uses Software

• MCQueue

This page was built for publication: Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4968524)