From moment explosion to the asymptotic behavior of the cumulative distribution for a random variable

DOI10.1137/S0040585X97T988228MaRDI QIDQ5369323zbMATH OpenFDO

Authors S. M. Ould Aly

Publication date 16 October 2017

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.4213

zbMATH Keywords

CIR processmoment generating functionregular variationtail asymptoticTauberian theorems

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Stochastic integrals (60H05)

Abstract: We study the Tauberian relations between the moment generating function (MGF) and the complementary cumulative distribution function of a random variable whose MGF is finite only on part of the real line. We relate the right tail behavior of the cumulative distribution function of such a random variable to the behavior of its MGF near the critical moment. We apply our results to an arbitrary superposition of a CIR process and the time-integral of this process.

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