Second order subexponentiality and infinite divisibility

DOI10.1017/S1446788720000208zbMATH Open1487.60034arXiv2001.10671OpenAlexW3036132726MaRDI QIDQ5075728FDOQ5075728

Authors: Toshiro Watanabe 

Publication date: 11 May 2022

Published in: Journal of the Australian Mathematical Society (Search for Journal in Brave)

Abstract: We characterize the second order subexponentiality of an infinitely divisible distribution on the real line under an exponential moment assumption. We investigate the asymptotic behaviour of the difference between the tails of an infinitely divisible distribution and its L'evy measure. Moreover, we study the second order asymptotic behaviour of the tail of the $t$-th convolution power of an infinitely divisible distribution. The density version for a self-decomposable distribution on the real line without an exponential moment assumption is also given. Finally, the regularly varying case for a self-decomposable distribution on the half line is discussed.

Full work available at URL: https://arxiv.org/abs/2001.10671

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zbMATH Keywords

infinite divisibilitysecond-order subexponentialitylocal subexponentiality

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50)

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Cited In (10)

• Second order subexponential distributions with finite mean and their applications to subordinated distributions
• Subexponential densities of infinitely divisible distributions on the half-line
• Subexponential densities of compound Poisson sums and the supremum of a random walk
• Infinite divisibility and generalized subexponentiality
• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Second-Order Asymptotic Behavior of Subexponential Infinitely Divisible Distributions
• Local subexponentiality of infinitely divisibile distributions
• Subexponentialiy of densities of infinitely divisible distributions
• Second-order behaviour for self-decomposable distributions with two-sided regularly varying densities
• Explicit estimates for the asymptotics of subexponential infinitely divisible distribution functions

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