Asymptotic Analysis of Random Walks: Heavy-Tailed Distributions

Asymptotic Analysis of Random Walks: Heavy-Tailed Distributions

by A. A. Borovkov, K. A. Borovkov, Aleksandr Alekseevich Borovkov
     
 

A comprehensive monograph presenting a unified systematic exposition of the large deviations theory for heavy-tailed random walks.See more details below

Overview

A comprehensive monograph presenting a unified systematic exposition of the large deviations theory for heavy-tailed random walks.

Product Details

ISBN-13:
9780521881173
Publisher:
Cambridge University Press
Publication date:
03/28/2008
Series:
Encyclopedia of Mathematics and Its Applications Series, #118
Edition description:
New Edition
Pages:
656
Product dimensions:
6.14(w) x 9.21(h) x 1.89(d)

Table of Contents

Introduction; 1. Preliminaries; 2. Random walks with jumps having no finite first moment; 3. Random walks with finite mean and infinite variance; 4. Random walks with jumps having finite variance; 5. Random walks with semiexponential jump distributions; 6. Random walks with exponentially decaying distributions; 7. Asymptotic properties of functions of distributions; 8. On the asymptotics of the first hitting times; 9. Large deviation theorems for sums of random vectors; 10. Large deviations in the space of trajectories; 11. Large deviations of sums of random variables of two types; 12. Non-identically distributed jumps with infinite second moments; 13. Non-identically distributed jumps with finite variances; 14. Random walks with dependent jumps; 15. Extension to processes with independent increments; 16. Extensions to generalised renewal processes; Bibliographic notes; Index of notations; Bibliography.

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