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Asymptotic formulas for probabilities of large deviations of ladder heights
Репозиторій DSpace/Manakin
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Asymptotic formulas for probabilities of large deviations of ladder heights
УДК:
519.21
Посилання:
Asymptotic formulas for probabilities of large deviations of ladder heights / S.V. Nagaev // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 1. — С. 100–116. — Бібліогр.: 17 назв.— англ.
Підтримка:
This article was partially supported by the Russian Foundation for Basic Research (grant 06-01-00069)
Дата:
2008
Переглядів:
1418
Завантажень:
950
Анотація:
Asymptotic formulas for large-deviation probabilities of a ladder height in a random
walk generated by a sequence of sums of i.i.d. random variables are deduced.
Two cases are considered:
a) the distribution F(x) of summands is normal with a zero mean.
b) F(x) belongs to the domain of the normal attraction of a stable law with
the exponent 0 < α < 1.
The method of Laplace transforms is applied in proofs.
