On lower limits and equivalences for distribution tails of randomly stopped sums



Bernoulli

On lower limits and equivalences for distribution tails of randomly stopped sums

Denis Denisov, Serguei Foss, and Dmitry Korshunov

Source: Bernoulli Volume 14, Number 2 (2008), 391-404.

Abstract

For a distribution F*τ of a random sum Sτ=ξ1+⋯+ξτ of i.i.d. random variables with a common distribution F on the half-line [0, ∞), we study the limits of the ratios of tails $\overline{F^{*\tau}}(x)/\overline{F}(x)$ as x→∞ (here, τ is a counting random variable which does not depend on {ξn}n≥1). We also consider applications of the results obtained to random walks, compound Poisson distributions, infinitely divisible laws, and subcritical branching processes.

Keywords: convolution tail; convolution equivalence; lower limit; randomly stopped sums; subexponential distribution

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.bj/1208872110
Digital Object Identifier: doi:10.3150/07-BEJ111

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