Asymptotic analysis of random walks : light-tailed distributions / A.A. Borovkov, Sobolev Institute of Mathematics, Novosibirsk ; translated by V.V. Ulyanov, Lomonosov Moscow State University and HSE University, Moscow, M. V. Zhitlukhin, Steklov Institute of Mathematics, Moscow

By:

Borovkov, A. A, 1931- [VerfasserIn]

Contributor(s):

Resource type: Ressourcentyp: BuchBookLanguage: English Original language: Russian Series: Encyclopedia of mathematics and its applications ; 176Publisher: Cambridge ; New York, NY ; Port Melbourne ; New Delhi ; Singapore : Cambridge University Press, 2020Description: xvi, 419 SeitenISBN:

9781107074682

Subject(s):

Additional physical formats: 9781139871303 | Erscheint auch als: Asymptotic analysis of random walks: light-tailed distributions. Online-Ausgabe New York : Cambridge University Press, 2020 | Erscheint auch als: Asymptotic analysis of random walks. Online-Ausgabe Cambridge : Cambridge University Press, 2020. 1 Online-Ressource (xvi, 419 Seiten)MSC: MSC: 60-02 | 60F05 | 60G50 | 60G51 | 60J10 | 60K05 | 60E05 | 60E07 | 62E20RVK: RVK: SK 800LOC classification:

QA274.73

DOI: DOI: 10.1017/9781139871303Summary: "This 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. The large deviation principle for random walks was first established by the author in 1967, under the restrictive condition that the distribution tails decay faster than exponentially. (A close assertion was proved by S.R.S. Varadhan in 1966, but only in a rather special case.) Since then, the principle has always been treated in the literature only under this condition. Recently, the author jointly with A.A. Mogul'skii removed this restriction, finding a natural metric for which the large deviation principle for random walks holds without any conditions. This new version is presented in the book, as well as a new approach to studying large deviations in boundary crossing problems. Many results presented in the book, obtained by the author himself or jointly with co-authors, are appearing in a monograph for the first time"--Summary: This 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. The large deviation principle for random walks was first established by the author in 1967, under the restrictive condition that the distribution tails decay faster than exponentially. (A close assertion was proved by S.R.S. Varadhan in 1966, but only in a rather special case.) Since then, the principle has always been treated in the literature only under this condition. Recently, the author jointly with A.A. Mogul'skii removed this restriction, finding a natural metric for which the large deviation principle for random walks holds without any conditions. This new version is presented in the book, as well as a new approach to studying large deviations in boundary crossing problems. Many results presented in the book, obtained by the author himself or jointly with co-authors, are appearing in a monograph for the first time.PPN: PPN: 1702003191

Holdings ( 1 )

Holdings
Item type	Home library	Shelving location	Call number	Status	Date due	Barcode	Item holds
Freihandbestand ausleihbar	Fachbibliothek Mathematik	Bibliothek / frei aufgestellt	Stoch. / Bor	Available		36617518090

Total holds: 0