FROM MOMENT EXPLOSION TO THE ASYMPTOTIC BEHAVIOR OF THE CUMULATIVE DISTRIBUTION FOR A RANDOM VARIABLE
(English)Article in journal (Refereed) Submitted
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.
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:uu:diva-218691OAI: oai:DiVA.org:uu-218691DiVA: diva2:696586