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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.
(English)Article in journal (Refereed) Submitted
Abstract [en]

We study the Tauberian relations between the moment generating function (MGF) and the complementary cumulative distribution function of a 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. 

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Probability Theory and Statistics
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URN: urn:nbn:se:uu:diva-218691OAI: oai:DiVA.org:uu-218691DiVA: diva2:696586
Available from: 2014-02-14 Created: 2014-02-14 Last updated: 2014-02-14

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CiteExportLink to record
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  • apa
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