Regularly distributed randomly stopped sum, minimum, and maximum

DOI10.15388/NAMC.2020.25.16661MaRDI QIDQ3295075zbMATH OpenOpenAlexFDO

Authors Jonas Sprindys, Jonas Šiaulys

Publication date 30 June 2020

Published in Nonlinear Analysis: Modelling and Control (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.15388/namc.2020.25.16661

zbMATH Keywords

closure propertyrandomly stopped maximumrandomly stopped minimumrandomly stopped sumregularly varying distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Sums of independent random variables; random walks (60G50)

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Cites work

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• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
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• On the random max-closure for heavy-tailed random variables
• Random sums of random variables and vectors: including infinite means and unequal length sums
• Randomly stopped minima and maxima with exponential-type distributions
• Randomly stopped sums of not identically distributed heavy tailed random variables
• Randomly stopped sums with exponential-type distributions
• Regularly varying functions
• Semi-heavy tails
• Some asymptotic results for one-sided large deviation probabilities
• Stochastic processes and long range dependence
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• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Tails of higher-order moments with dominatedly varying summands

Cited in

(9)

• Closure properties of \(O\)-exponential distributions
• Doob, Ignatov and optional skipping.
• Randomly stopped sums with consistently varying distributions
• Randomly stopped \(k\)th order statistics
• Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
• Randomly stopped maximum and maximum of sums with consistently varying distributions
• Randomly stopped minima and maxima with exponential-type distributions
• Properties of the random effect transformation
• Regularity of a randomly stopped sum determines regularity of the stopping moment

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