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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: Light-Tailed Distributions

Asymptotic Analysis of Random Walks: Light-Tailed Distributions

Ulyanov, V. V.
Zhitlukhin, Mikhail
Borovkov, A. A.

Hardcover

Series: Encyclopedia of Mathematics and Its Applications, Book 176

General MathematicsProbability & Statistics

ISBN10: 1107074681
ISBN13: 9781107074682
Publisher: Cambridge University Press
Published: Oct 29 2020
Pages: 436
Weight: 1.86
Height: 1.13 Width: 6.14 Depth: 9.21
Language: English
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.

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