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Light-Tailed Behavior in QBD Processes with Countably Many Phases
Stochastic Models, 2009Generally speaking, analysis of tail asymptotics in two-dimensional queueing systems is very challenging. Earlier work based on complex analysis led to determinations of exact forms of tail asymptotics. Ideas of large deviations, a powerful tool for characterizing light-tailed decay rates or analysis of rough tail asymptotics, have been utilized ...
Qi-Ming He, Hui Li, Yiqiang Q. Zhao
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From light tails to heavy tails through multiplier
Extremes, 2008Let \(X\) and \(Y\) be two independent nonnegative random variables with distributions \(F\) and \(G\), respectively, and let \(H\) be the distribution of their product \(Z=XY\). The author studies how the tail behaviour of the product \(Z\) is effected by the tail behaviour of \(X\) given that \(F\) belongs to the class \(\mathcal L(\gamma)\) or ...
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Asymptotic results on tail moment for light-tailed risks
Insurance: Mathematics and EconomicszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Bingjie, Li, Jinzhu
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Asymptotic Analysis of Random Walks: Light-Tailed Distributions
2020This is a companion book to Asymptotic Analysis of Random Walks: Heavy-Tailed Distributions by A.A. Borovkov and K.A. Borovkov. Its self-contained systematic exposition provides a highly useful resource for academic researchers and professionals interested in applications of probability in statistics, ruin theory, and queuing theory.
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Remarks on suprema of Lévy processes with light tailes
Statistics & Probability Letters, 1999The authors study compound Poisson processes \(X(t)\), \(t\geq 0\), with stationary increments and with jump sizes having light right tail and finite variance. If the jump size distribution is centered, it is shown that \[ P\Bigl(\sup_{0\leq t\leq 1} X(t)>x\Bigr)\sim P(X(1)> x) \quad\text{as }x\to \infty.
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Comments on: Light tail asymptotics in multidimensional reflecting processes for queueing networks
TOP, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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On infinitely divisible distributions with light tails of Lévy measures
Statistics & Probability Letters, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Light tail asymptotics in multidimensional reflecting processes for queueing networks
TOP, 2011Motivated by classical Jackson networks and semi-martingale reflecting Brownian motion a general multi-dimensional reflecting process in discrete time on the nonnegative orthant is defined with homogeneous transition rates in the interior of that cone and on the respective faces of the boundary.
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Refined Estimation of a Light Tail: An Application to Environmental Data
2013In this chapter, we consider a recent class of generalized negative moment estimators of a negative extreme value index, the primary parameter in statistics of extremes. Apart from the usual integer parameter k, related to the number of top order statistics involved in the estimation, these estimators depend on an extra real parameter θ, which makes ...
M. Ivette Gomes +2 more
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Rejoinder on: Light tail asymptotics in multidimensional reflecting processes for queueing networks
TOP, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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