Asymptotic analysis of random walks: heavy-tailed distributions
Auteur :
Borovkov, A. A. / Borovkov, K. A.
Éditeur :
Cambridge University Press
ISBN :
9780521881173
Date de publication :
12 juin 2008
Dimensions :
24,2 x 16,2 x 4,8 cm
Poids :
1220 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
'Heavy-tailed' distributions describe claim sizes in insurance, losses in finance, and more. In many applications, critically important events can be represented as 'large deviations' of random walks - computing probabilities of such events is essential. This monograph presents a unified systematic exposition of the large deviations theory for heavy-tailed random walks.