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A note on randomly stopped sums with zero mean increments.

Authors :
Leipus, Remigijus
Šiaulys, Jonas
Source :
Modern Stochastics: Theory & Applications; Jan2024, Vol. 11 Issue 1, p31-42, 12p
Publication Year :
2024

Abstract

In this paper, the asmptotics is considered for the distribution tail of a randomly stopped sum S<subscript>ν</subscript> = X<subscript>1</subscript> + ··· + X<subscript>ν</subscript> of independent identically distributed consistently varying random variables with zero mean, where ν is a counting random variable independent of {X<subscript>1</subscript>,X<subscript>2</subscript>, . . .}. The conditions are provided for the relation P(S<subscript>ν</subscript> > x) ∼ Eν P(X<subscript>1</subscript> > x) to hold, as x →∞, involving the finiteness of E|X<subscript>1</subscript>|. The result improves that of Olvera-Cravioto [14], where the finiteness of a moment E|X<subscript>1</subscript>|<superscript>r</superscript> for some r > 1 was assumed. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
23516046
Volume :
11
Issue :
1
Database :
Complementary Index
Journal :
Modern Stochastics: Theory & Applications
Publication Type :
Academic Journal
Accession number :
175889666
Full Text :
https://doi.org/10.15559/23-VMSTA236