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Asymptotic analysis of random walks : heavy-tailed distributions /
This monograph is devoted to studying the asymptotic behaviour of the probabilities of large deviations of the trajectories of random walks, with 'heavy-tailed' (in particular, regularly varying, sub- and semiexponential) jump distributions. It presents a unified and systematic exposition.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés Ruso |
| Publicado: |
Cambridge :
Cambridge University Press,
2008.
|
| Colección: | Encyclopedia of mathematics and its applications ;
no. 118. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Borovkov, A. A. |q (Aleksandr Alekseevich), |d 1931- | |
| 245 | 1 | 0 | |a Asymptotic analysis of random walks : |b heavy-tailed distributions / |c A.A. Borovkov, K.A. Borovkov ; translated by O.B. Borovkova. |
| 264 | 1 | |a Cambridge : |b Cambridge University Press, |c 2008. | |
| 300 | |a 1 online resource (xxix, 625 pages) : |b illustrations | ||
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| 490 | 1 | |a Encyclopedia of mathematics and its applications ; |v number 118 | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Preliminaries -- Random walks with jumps having no finite first moment -- Random walks with jumps having finite mean and infinite variance -- Random walks with jumps having finite variance -- Random walks with semiexponential jump distributions -- Large deviations on the boundary of and outside the Cramer zone for random walks with jump distributions decaying exponentially fast -- Asymptotic properties of functions of regularly varying and semiexponential distributions. Asymptotics of the distributions of stopped sums and their maxima. An alternative approach to studying the asymptotics of P(S[subscript n] [is equal to or greater than] x) -- On the asymptotics of the first hitting times -- Integro-local and integral large deviation theorems for sums of random vectors -- Large deviations in trajectory space -- Large deviations of sums of random variables of two types -- Random walks with non-identically distributed jumps in the triangular array scheme in the case of infinite second moment. Transient phenomena -- Random walks with non-identically distributed jumps in the triangular array scheme in the case of finite variances -- Random walks with dependent jumps -- Extension of the results of Chapters 2-5 to continuous-time random processes with independent increments -- Extension of the results of Chapters 3 and 4 to generalized renewal processes. | |
| 520 | 8 | |a This monograph is devoted to studying the asymptotic behaviour of the probabilities of large deviations of the trajectories of random walks, with 'heavy-tailed' (in particular, regularly varying, sub- and semiexponential) jump distributions. It presents a unified and systematic exposition. | |
| 588 | 0 | |a Print version record. | |
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Random walks (Mathematics) | |
| 650 | 0 | |a Asymptotic expansions. | |
| 650 | 6 | |a Marches aléatoires (Mathématiques) | |
| 650 | 6 | |a Développements asymptotiques. | |
| 650 | 7 | |a MATHEMATICS |x Applied. |2 bisacsh | |
| 650 | 7 | |a MATHEMATICS |x Probability & Statistics |x General. |2 bisacsh | |
| 650 | 7 | |a Asymptotic expansions |2 fast | |
| 650 | 7 | |a Random walks (Mathematics) |2 fast | |
| 650 | 7 | |a Asymptotik |2 gnd | |
| 650 | 7 | |a Irrfahrtsproblem |2 gnd | |
| 700 | 1 | |a Borovkov, K. A. |q (Konstantin Aleksandrovich) | |
| 776 | 0 | 8 | |i Print version: |a Borovkov, A.A. (Aleksandr Alekseevich), 1931- |t Asymptotic analysis of random walks |z 9780521881173 |w (DLC) 2008298018 |w (OCoLC)174130608 |
| 830 | 0 | |a Encyclopedia of mathematics and its applications ; |v no. 118. | |
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