Probability of large deviations of sums of random processes from Orlicz space

Kozachenko Yu. V. () and Mlavets Yu. Yu. ()
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Kozachenko Yu. V.: Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Volodymyrska Str. 64, Kyiv, 01601, Ukraine.
Mlavets Yu. Yu.: Department of Cybernetics and Applied Mathematics, Faculty of Mathematics, Uzhgorod National University, University Str. 14, Uzghorod, 88000, Ukraine.

Monte Carlo Methods and Applications, 2011, vol. 17, issue 2, 155-168

Abstract: This paper is devoted to the accuracy and reliability estimation (in uniform metrics) of calculation of improper integrals depending on a parameter t, using the Monte Carlo method. For this, estimates for the probability of deviation in the uniform metric of sums of independent identically distributed fields, which belong to Orlicz spaces, were found.

Keywords: Orlicz space of random variables; -function; Monte Carlo method; random process (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1515/mcma.2011.007

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