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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1999 Volume 44, Issue 2, Pages 458–465 (Mi tvp783)

This article is cited in 5 papers

Short Communications

Asymptotic expansion of the distribution of a homogeneous functional of a strictly stable random vector. II

N. V. Smorodina

Saint-Petersburg State University

Abstract: Let $u$ be a strictly stable non-Gaussian vector with the exponent of stability $\alpha\ge 1$, taking on values in a separable Banach space $B$. Let $h\colon B\to\mathbb R$ be a smooth homogeneous functional and let $F$ be the distribution function of the random variable $h(u)$. For the function $1-F(x)$ we obtain an asymptotic expansion of the form $\sum_{k=1}^n c_kx^{-k\alpha}+O(x^{-(n+1)\alpha})$, $x\to\infty$ ($n$ is determined by the smoothness of $h$). To establish the expansion we use a new approach which is based on the decomposition of the distribution into the sum of linear functionals.

Keywords: strictly stable distribution, spectral measure, space of configurations, Poisson random measure, linear functional in a Banach space, stochastic integral.

Received: 27.02.1998

DOI: 10.4213/tvp783


 English version:
Theory of Probability and its Applications, 2000, 44:2, 419–427

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