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JOURNALS // Matematicheskie Trudy // Archive

Mat. Tr., 2008 Volume 11, Number 1, Pages 49–67 (Mi mt116)

This article is cited in 12 papers

Small deviations of series of independent positive random variables with weights close to exponential

A. A. Borovkovab, P. S. Ruzankinab

a Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
b Novosibirsk State University

Abstract: Let $\xi,\xi_0,\xi_1,\dots$ be independent identically distributed (i.i.d.) positive random variables. The present paper is a continuation of the article [1] in which the asymptotics of probabilities of small deviations of series $S=\sum_{j=0}^{\infty}a(j)\xi_j$ was studied under different assumptions on the rate of decrease of the probability $\mathbb P(\xi<x)$ as $x\to0$, as well as of the coefficients $a(j)\ge0$ as $j\to\infty$. We study the asymptotics of $\mathbb P(S<x)$ as $x\to 0$ under the condition that the coefficients $a(j)$ are close to exponential. In the case when the coefficients $a(j)$ are exponential and $\mathbb P(\xi<x)\sim bx^\alpha$ as $x\to 0$, $b>0$, $\alpha>0$, the asymptotics $\mathbb P(S<x)$ is obtained in an explicit form up to the factor $x^{o(1)}$. Originality of the approach of the present paper consists in employing the theory of delayed differential equations. This approach differs significantly from that in [1].

Key words: small deviations, series of independent random variables, delayed differential equations.

UDC: 519.214

Received: 25.10.2007


 English version:
Siberian Advances in Mathematics, 2008, 18:3, 163–175

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