Asymptotic Analysis of Random Walks Heavy-Tailed Distributions

Name: Asymptotic Analysis of Random Walks Heavy-Tailed Distributions
Price: 202.72 USD
Availability: InStock
ISBN: 9780521881173

ISBN-10: 052188117X

ISBN-13: 9780521881173

Edition: 2008

Authors: A. A. Borovkov, K. A. Borovkov

List price: $210.00

30 day, 100% satisfaction guarantee!

Marketplace

1 new & used from $202.72

what's this?

Rush Rewards U
Members Receive:

You have reached 400 XP and carrot coins. That is the daily max!

Description:

This book is devoted to studying the asymptotic behaviour of the probabilities of large deviations of the trajectories of random walks, with 'heavy-tailed' (in particular, regularly varying, sub- and semiexponential) jump distributions. Large deviation probabilities are of great interest in numerous applied areas, with typical examples being ruin probabilities in risk theory, error probabilities in mathematical statistics, and buffer overflow probabilities in queueing theory. The classical large deviations theory, developed for exponentially fast (or even faster) decaying at infinity distributions, mostly uses analytical methods. If the fast decay condition fails, which is the case in many…

Book details

List price: $210.00
Copyright year: 2008
Publisher: Cambridge University Press
Publication date: 6/12/2008
Binding: Hardcover
Pages: 656
Size: 6.38" wide x 9.53" long x 1.89" tall
Weight: 2.684
Language: English

Konstantin Borovkov is a staff member in the Department of Mathematics and Statistics at the University of Melbourne.



Introduction



Preliminaries



Random walks with jumps having no finite first moment



Random walks with finite mean and infinite variance



Random walks with jumps having finite variance



Random walks with semiexponential jump distributions



Random walks with exponentially decaying distributions



Asymptotic properties of functions of distributions



On the asymptotics of the first hitting times



Large deviation theorems for sums of random vectors



Large deviations in the space of trajectories



Large deviations of sums of random variables of two types



Non-identically distributed jumps with infinite second moments



Non-identically distributed jumps with finite variances



Random walks with dependent jumps



Extension to processes with independent increments



Extensions to generalised renewal processes


Bibliographic notes


Index of notations


Bibliography