Randomly Stopped Sums with Generalized Subexponential Distribution
Copyright policy )Randomly Stopped Sums with Generalized Subexponential Distribution
Let {ξ1,ξ2,…} be a sequence of independent possibly differently distributed random variables, defined on a probability space (Ω,F,P) with distribution functions {Fξ1,Fξ2,…}. Let η be a counting random variable independent of sequence {ξ1,ξ2,…}. In this paper, we find conditions under which the distribution function of randomly stopped sum Sη=ξ1+ξ2+…+ξη belongs to the class of generalized subexponential distributions.
- Vilnius University Lithuania
subexponentiality; generalized subexponentiality; heavy tail; randomly stopped sum, generalized subexponentiality, heavy tail, QA1-939, randomly stopped sum, subexponentiality, Mathematics
subexponentiality; generalized subexponentiality; heavy tail; randomly stopped sum, generalized subexponentiality, heavy tail, QA1-939, randomly stopped sum, subexponentiality, Mathematics
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