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From Moment Explosion To The Asymptotic Behavior Of The Cumulative Distribution For A Random Variable
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
2017 (English)In: Theory of Probability and its Applications, ISSN 0040-585X, E-ISSN 1095-7219, Vol. 61, no 3, 357-374 p.Article in journal (Refereed) Published
Abstract [en]

We study the Tauberian relations between the moment generating function (MGF) and the complementary cumulative distribution function of a random variable whose MGF is finite only on part of the real line. We relate the right tail behavior of the cumulative distribution function of such a random variable to the behavior of its MGF near the critical moment. We apply our results to an arbitrary superposition of a CIR process and the time-integral of this process.

Place, publisher, year, edition, pages
2017. Vol. 61, no 3, 357-374 p.
Keyword [en]
regular variation, Tauberian theorems, moment generating function, tail asymptotic, CIR process
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-336667DOI: 10.1137/S0040585X97T988228ISI: 000412117600001OAI: oai:DiVA.org:uu-336667DiVA: diva2:1170862
Funder
Riksbankens Jubileumsfond, P10-0113:1
Available from: 2018-01-04 Created: 2018-01-04 Last updated: 2018-01-04Bibliographically approved

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