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Second order behaviour of the tail of a subordinated probability distribution

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 <= [varrho] <= 1. Applications to random walk theory and infinite divisibility are given.
Year of publication:
1986
Authors: Omey, E. ; Willekens, E.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 21.1986, 2, p. 339-353
Publisher: Elsevier
Subject: regular variation subordination infinite divisibility
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874948
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