The exact asymptotics of the large deviation probabilities in the multivariate boundary crossing problem

DOI10.1017/apr.2019.28zbMath1427.60050arXiv1708.09605MaRDI QIDQ5203958

Yuqing Pan, Konstantin A. Borovkov

Publication date: 9 December 2019

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

Full work available at URL: https://arxiv.org/abs/1708.09605

zbMATH Keywords

large deviation; boundary crossing; exact asymptotics; multivariate random walk; second rate function; Cramér moment condition; multivariate ruin problem

Mathematics Subject Classification ID

60G50: Sums of independent random variables; random walks

60K35: Interacting random processes; statistical mechanics type models; percolation theory

60F10: Large deviations

Related Items

Ruin probabilities for risk processes in a bipartite network, The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process: the Cramér case, Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics, Pandemic-type failures in multivariate Brownian risk models, Extremes of vector-valued Gaussian processes, A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process, Simultaneous ruin probability for two-dimensional brownian risk model

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