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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Asymptotic Analysis of Random Walks

Asymptotic Analysis of Random Walks

Borovkov, A. A.
Borovkov, K. A.

Hardcover

Series: Encyclopedia of Mathematics and Its Applications, Book 118

General MathematicsProbability & Statistics

ISBN10: 052188117X
ISBN13: 9780521881173
Publisher: Cambridge University Press
Published: Jun 12 2008
Pages: 656
Weight: 2.70
Height: 2.00 Width: 6.50 Depth: 9.30
Language: English
This book focuses on the asymptotic behavior 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.

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