Asymptotic Analysis Of Random Walks: Heavy-tailed Distributions (encyclopedia Of Mathematics And Its Applications)
by A. A. Borovkov /
2010 / English / PDF
6.2 MB Download
This book focuses on the asymptotic behavior 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, typical examples
being ruin probabilities in risk theory, error probabilities in
mathematical statistics, and buffer-overflow probabilities in
queueing theory. The classical large deviation theory, developed
for distributions decaying exponentially fast (or even faster) at
infinity, mostly uses analytical methods. If the fast decay
condition fails, which is the case in many important applied
problems, then direct probabilistic methods usually prove to be
efficient. This monograph presents a unified and systematic
exposition of the large deviation theory for heavy-tailed random
walks. Most of the results presented in the book are appearing in a
monograph for the first time. Many of them were obtained by the
authors.
This book focuses on the asymptotic behavior 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, typical examples
being ruin probabilities in risk theory, error probabilities in
mathematical statistics, and buffer-overflow probabilities in
queueing theory. The classical large deviation theory, developed
for distributions decaying exponentially fast (or even faster) at
infinity, mostly uses analytical methods. If the fast decay
condition fails, which is the case in many important applied
problems, then direct probabilistic methods usually prove to be
efficient. This monograph presents a unified and systematic
exposition of the large deviation theory for heavy-tailed random
walks. Most of the results presented in the book are appearing in a
monograph for the first time. Many of them were obtained by the
authors.