Second order behaviour of the tail of a subordinated probability distribution

Abstract:

Let G = Σ∞n=0pnF*n denote the probability measure subordinate to F with subordinator {Pn}N. We investigate the asymptotic behaviour of (1 - G(x))-(Σ npn)(1 - F(x)) as x → ∞ if 1 - F is regularly varying with index ρ{variant}, 0 ≤ ρ{variant} ≤ 1. Applications to random walk theory and infinite divisibility are given. © 1986.

Año de publicación:

1986

Keywords:

• Subordination
• Regular variation
• infinite divisibility

Fuente:

scopus