On the distribution tail of the sum of the maxima of two randomly stopped sums in the presence of heavy tails

Pavel Igorevich Tesemnikov

doi:10.33048/semi.2019.16.126

On the distribution tail of the sum of the maxima of two randomly stopped sums in the presence of heavy tails

Переведенное название: О сумме максимумов случайных сумм случайных величин при наличии тяжёлых хвостов распределений

Pavel Igorevich Tesemnikov

Результат исследования: Научные публикации в периодических изданиях › статья › рецензирование

Аннотация

We deal with two independent random walks with subexponential distributions of their increments. We study the tail distributional asymptotics for the sum of their partial maxima within random time intervals. Assuming the distributions of the lengths of these intervals to be relatively small, with respect to that of the increments of the random walks, we show that the sum of the maxima takes a large value mostly due a large value of a single summand (this is the so-called “principle of a single big jump”).

Переведенное название	О сумме максимумов случайных сумм случайных величин при наличии тяжёлых хвостов распределений
Язык оригинала	английский
Страницы (с-по)	1785-1794
Число страниц	10
Журнал	Сибирские электронные математические известия
Том	16
DOI	https://doi.org/10.33048/semi.2019.16.126
Состояние	Опубликовано - 2019
Событие	Международная научная студенческая конференция (МНСК), Новосибирск, 14-19 апреля 2019 - Пирогова, 1, Новосибирск, Российская Федерация Продолжительность: 14 апр 2019 → 19 апр 2019 Номер конференции: 57 https://issc.nsu.ru/

Предметные области OECD FOS+WOS

1.01 МАТЕМАТИКА

ГРНТИ

27.43 Теория вероятностей и математическая статистика

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10.33048/semi.2019.16.126

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On the distribution tail of the sum of the maxima of two randomly stopped sums in the presence of heavy tails. / Tesemnikov, Pavel Igorevich.

В: Сибирские электронные математические известия, Том 16, 2019, стр. 1785-1794.

Результат исследования: Научные публикации в периодических изданиях › статья › рецензирование

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