Asymptotic Analysis of Random Walks by A A Borovkov

Asymptotic Analysis of Random Walks by A A Borovkov

This book focuses on the asymptotic behaviour of the probabilities of large deviations of the trajectories of random walks with 'heavy-tailed' (in particular, regularly varying, sub- and semiexponential) jump distributions. Large deviation probabilities are of great interest in numerous applied areas, typical examples being ruin probabilities in risk theory, error probabilities in mathematical statistics, and buffer-overflow probabilities in queueing theory. The classical large deviation theory, developed for distributions decaying exponentially fast (or even faster) at infinity, mostly uses analytical methods. If the fast decay condition fails, which is the case in many important applied problems, then direct probabilistic methods usually prove to be efficient. This monograph presents a unified and systematic exposition of the large deviation theory for heavy-tailed random walks. Most of the results presented in the book are appearing in a monograph for the first time. Many of them were obtained by the authors.

'This book is a worthy tribute to the amazing fecundity of the structure of random walks!' Mathematical Reviews
'… an up-to-date, unified and systematic exposition of the fieldMost of the results presented are appearing in a monograph for the first time and a good proportion of them were obtained by the authors. … The book presents some beautiful and useful mathematics that may attract a number of probabilists to the large deviations topic in probability.' EMS Newsletter

Alexander Borovkov works at the Sobolev Institute of Mathematics in Novosibirsk. Konstantin Borovkov is a staff member in the Department of Mathematics and Statistics at the University of Melbourne.

SKU	Nicht verfügbar
ISBN 13	9780521881173
ISBN 10	052188117X
Titel	Asymptotic Analysis of Random Walks
Autor	A A Borovkov
Serie	Encyclopedia Of Mathematics And Its Applications
Buchzustand	Nicht verfügbar
Bindungsart	Hardback
Verlag	Cambridge University Press
Erscheinungsjahr	2008-06-12
Seitenanzahl	656
Hinweis auf dem Einband	Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden.