I.I.D.随机变量重尾随机和的尾概率

Note on Tail Probabilities of Maxima of Random Sums of i.i.d. Heavy-tailed Random Variables

设 {X ,Xk,k≥ 1 }为一列独立同分布的随机变量 ,Sn 为它的前n项部分和 ,得到 :在X是次指数分布的随机变量的假设下 ,随机个部分和最大值的尾概率的一个等价公式 .该结果推广了文献 [7]的结果 .

Let {X,X k,k≥1} be a sequence of i.i.d. r.v.'s, and S n be its nth partial sum. Under the assumption that X is subexponentially distributed, we obtained an asymptotics of the tail probabilities of the maxima of radom partial sums. This result extends the result of paper 7.