Upper and lower bounds in exponential Tauberian theorems

MaRDI QIDQ991572zbMATH OpenFDO

Authors Jochen Voss

Publication date 7 September 2010

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

Full work available at URL https://arxiv.org/abs/0908.0642, http://www.tcms.org.ge/Journals/TMJ/Volume2/abstract2_3.html

zbMATH Keywords

Laplace transformlarge deviationsexponential Tauberian theorems

Mathematics Subject Classification ID

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

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.

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