Second order behaviour of the tail of a subordinated probability distribution

E. Omey and E. Willekens

Stochastic Processes and their Applications, 1986, vol. 21, issue 2, 339-353

Abstract: Let G = [Sigma][infinity]n=0pnF*n denote the probability measure subordinate to F with subordinator {Pn}. We investigate the asymptotic behaviour of (1 - G(x))-([Sigma] npn)(1 - F(x)) as x --> [infinity] if 1 - F is regularly varying with index [varrho], 0

Keywords: regular; variation; subordination; infinite; divisibility (search for similar items in EconPapers)
Date: 1986
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Citations: View citations in EconPapers (14)

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