Asymptotic Analysis of Random Walks

A. A. Borovkov

ISBN 10: 052188117X / ISBN 13: 9780521881173

Edité par Cambridge University Press, 2008

A propos de cet article

Druck auf Anfrage Neuware - Printed after ordering - This book focuses on 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. Large deviation probabilities are of great interest in numerous applied areas, typical examples being ruin probabilities in risk theory, error probabilities in mathematical statistics, and buffer-overflow probabilities in queueing theory. The classical large deviation theory, developed for distributions decaying exponentially fast (or even faster) at infinity, mostly uses analytical methods. If the fast decay condition fails, which is the case in many important applied problems, then direct probabilistic methods usually prove to be efficient. This monograph presents a unified and systematic exposition of the large deviation theory for heavy-tailed random walks. Most of the results presented in the book are appearing in a monograph for the first time. Many of them were obtained by the authors.

N° de réf. du vendeur 9780521881173

Détails bibliographiques

• Titre: Asymptotic Analysis of Random Walks
• Éditeur: Cambridge University Press
• Date de parution: 2008
• Langue: anglais
• ISBN à 10 chiffres: 052188117X
• ISBN à 13 chiffres: 9780521881173
• Reliure: Buch
• État de l'article: Neu
• Dimensions: 240 L x 161 H x 43 P (en millimètres) 240 millimètres de largeur par 161 millimètres de hauteur par 43 millimètres de profondeur
• Poids: 1259 grammes

A propos de ce titre

Synopsis

A comprehensive monograph presenting a unified systematic exposition of the large deviations theory for heavy-tailed random walks.

À propos des auteurs

Alexander Borovkov works at the Sobolev Institute of Mathematics in Novosibirsk.

Konstantin Borovkov is a staff member in the Department of Mathematics and Statistics at the University of Melbourne.