Upper and lower bounds in exponential Tauberian theorems

zbMATH Open1203.60031arXiv0908.0642MaRDI QIDQ991572FDOQ991572

Authors: Jochen Voss 

Publication date: 7 September 2010

Published in: Tbilisi Mathematical Journal (Search for Journal in Brave)

Abstract: In this text we study, for positive random variables, the relation between the behaviour of the Laplace transform near infinity and the distribution near zero. A result of De Bruijn shows that $E(e^{-lambdaX})simexp(rlambd{a}^{a}lpha)$ for $lambdaoinfty$ and $$ for $epsilondownarrow0$ are in some sense equivalent (for $$) and gives a relation between the constants $r$ and $s$. We illustrate how this result can be used to obtain simple large deviation results. For use in more complex situations we also give a generalisation of De Bruijn's result to the case when the upper and lower limits are different from each other.

Full work available at URL: https://arxiv.org/abs/0908.0642

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zbMATH Keywords

Laplace transformlarge deviationsexponential Tauberian theorems

Mathematics Subject Classification ID

Large deviations (60F10) Laplace transform (44A10)

Cited In (8)

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