The closure of a local subexponential distribution class under convolution roots, with applications to the compound poisson process

Journal of Applied Probability

Volumn 42, Issue 4, 2005, Pages 1194-1203

  Wang, Yuebao ^a   Cheng, Dongya ^a   Wang, Kaiyong ^a  

^a SOOCHOW UNIVERSITY   (China)

Author keywords

Compound Poisson process; Convolution root; Infinitely divisible law; Local subexponential distribution class

Indexed keywords

EID: 33645354817     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1134587826     Document Type: Article

References (4)

1. ASMUSSEN, S., FOSS, S. AND KORSHUNOV, D. (2003). Asymptotics for sums of random variables with local subexponential behavior. J. Theoret. Prob. 16, 489-518.
2. EMBRECHTS, P. AND GOLDIE, C. M. (1982). On convolution tails. Stoch. Process. Appl. 13, 263-270.
3. EMBRECHTS, P., GOLDIE, C. M. AND VERAVERBEKE, N. (1979). Subexponentiality and infinite divisibility. Z. Wahrscheinlichkeitsth. 49, 335-347.
4. FELLER, W. (1971). An Introduction to Probability Theory and Its Applications, Vol. 2, 2nd edn. John Wiley, New York.