Second order subexponentiality and infinite divisibility
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Publication:5075728
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 -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.
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Cites work
- scientific article; zbMATH DE number 29935 (Why is no real title available?)
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- scientific article; zbMATH DE number 2031102 (Why is no real title available?)
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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
- Distributions of subadditive functionals of sample paths of infinitely divisible processes
- Infinite divisibility and generalized subexponentiality
- 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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