Large deviations for subexponential random variables
We study large deviations and various asymptotics for heavy-tailed random variables. This includes asymptotics for the maximum of random walk, waiting time of single-server queues, sums and randomly stopped sums of heavy-tailed random variables.
Cardiff Investigators
- Dr. Denis Denisov
Collaborators
Prof. Onno Boxma,
Prof. Sergei Foss,
Prof. Dmitry Korshunov,
Prof. Bert Zwart,
Dr. Ton Dieker,
Dr. Seva Shneer,
Dr. Vitali Wachtel
Selected publications
- D. Denisov and O. Boxma (2011) Sojourn time tails in the single server queue with heavy-tailed service times. Queueing Syst. 69(2), 101-119.
- D. Denisov and V. Shneer (2010) Global and local asymptotics for the busy period of M/G/1 queue. Queueing Syst. 64(4), 383-393.
- D. Denisov, S. Foss and D. Korshunov (2010) Asymptotics of randomly stopped sums in the presence of heavy tails. Bernoulli 16(4), 971-994. arXiv:0808.3697.
- D. Denisov, T.Dieker and V. Shneer (2008) Large deviations for random walks under subexponentiality: the big-jump domain. Ann. Probab. 36 (5), 1946-1991. arXiv:math/0703265.
- D. Denisov, S. Foss and D. Korshunov (2008) On lower limits and equivalences for distribution tails of randomly stopped sums. Bernoulli 14 (2). arXiv:math/0701920.
- D. Denisov, S. Foss and D. Korshunov (2007) Lower limits for distributions of randomly stopped sums. Teor. Ver. Prim. (in Russian) 52. English translation to appear in Probab. Theory Appl. arXiv:0711.4491
- D. Denisov and B. Zwart (2007) On a theorem of Breiman and a class of random difference equations. Journal of Applied Probability, 44(4).
- D. Denisov and V. Shneer (2007) Local asymptotics for the cycle maximum of a heavy-tailed random walk. Advances of Applied Probability, 39(1).
- D. Denisov (2005) A note on the asymptotics for the maximum on a random time interval of a random walk. Markov Processes and related fields, 11, 165-169.
- D. Denisov, S. Foss and D. Korshunov (2004) Tail asymptotics for the supremum of a random walk when the mean is not finite. Queueing Syst. Theory Appl., 46 (1-2), 15-33.