Asymptotics for exponential functionals of random walks
نویسندگان
چکیده
This paper provides a detailed description for the asymptotics of exponential functionals random walks with light/heavy tails. We give convergence rate based on key observation that depends sample paths either slowly decreasing local minimum or final value below low level. Also, our thoughtful analysis interrelationship between and exact expression limiting coefficients in terms some transformations walk.
منابع مشابه
Exponential Asymptotics and Law of the Iterated Logarithm for Intersection Local times of Random Walks
Let α([0,1]) denote the intersection local time of p independent d-dimensional Brownian motions running up to the time 1. Under the conditions p(d− 2)< d and d≥ 2, we prove lim t→∞ t −1 logP{α([0,1])≥ t}=−γα(d, p) with the right-hand side being identified in terms of the the best constant of the Gagliardo–Nirenberg inequality. Within the scale of moderate deviations, we also establish the preci...
متن کاملTail asymptotics for exponential functionals of Lévy processes
Motivated by recent studies in financial mathematics and other areas, we investigate the exponential functional Z = ∫∞ 0 e−X(t)dt of a Lévy process X(t), t ≥ 0. In particular, we investigate its tail asymptotics. It is shown that, depending on the right tail of X(1), the tail behavior of Z is exponential, Pareto, or extremely heavy-tailed.
متن کاملExponential asymptotics for intersection local times of stable processes and random walks
We study large deviations for intersection local times of p independent d-dimensional symmetric stable processes of index β, under the condition p(d − β) < d. Our approach is based on FeynmanKac type large deviations, moment computations and some techniques from probability in Banach spaces.
متن کاملAsymptotics for Sparse Exponential Random Graph Models
We study the asymptotics for sparse exponential random graph models where the parameters may depend on the number of vertices of the graph. We obtain a variational principle for the limiting free energy, an associated concentration of measure, the asymptotics for the mean and variance of the limiting probability distribution, and phase transitions in the edge-triangle model. Similar analysis is...
متن کاملAsymptotics for Random Walks in Alcoves of Affine Weyl Groups
Abstract. Asymptotic results are derived for the number of random walks in alcoves of affine Weyl groups (which are certain regions in n-dimensional Euclidean space bounded by hyperplanes), thus solving problems posed by Grabiner [J. Combin. Theory Ser. A 97 (2002), 285–306]. These results include asymptotic expressions for the number of vicious walkers on a circle, and as well for the number o...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2023
ISSN: ['1879-209X', '0304-4149']
DOI: https://doi.org/10.1016/j.spa.2023.07.013