Tail probability of random variable and Laplace transform

DOI10.1080/00036810410001724436MaRDI QIDQ5712026zbMATH OpenOpenAlexFDO

Authors Kenji Nakagawa

Publication date 22 December 2005

Published in Applicable Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00036810410001724436

zbMATH Keywords

exponential decayLaplace-Stieltjes transformtail probabilityTauberian theorem

Mathematics Subject Classification ID

Tauberian theorems (40E05) Laplace transform (44A10) Characteristic functions; other transforms (60E10) Limit theorems in probability theory (60F99)

Review text

Let \(\widetilde F(x)= P(X> x)\) be the tail probability of nonnegative random variable \(X\), and \(\sigma_0\) the abscissa of convergence of the Laplace-Stieltjes transform \(\phi(s)\) of the distribution function \(P(X\leq x)\). If \(\sigma_0< 0\), and if \(\phi(s)\) has only finitely many poles on \(\text{Re\,}s=\sigma_0\), then \(\lim_{x\to\infty}(1/x)\widetilde F(x)= \sigma_0\).

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Cites work

• A century of complex Tauberian theory
• On the Exponential Decay Rate of the Tail of a Discrete Probability Distribution

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