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The behavior of tail probabilities P{S ≤ r}, r → 0 is investigated, where S is a series S = ∑λjZj generated by some sequence of positive numbers {λj} and by a sequence {Zj} of independent copies of a positive random variable Z. We present the exact asymptotic expression for P{S ≤ r} by means of Laplace transform Λ(γ) = Eexp{-γS} under weak assumptions on the behavior of the tail probabilities of Z in the vicinity of zero. The bounds of accuracy are also given, and under weak supplementary smoothness conditions the asymptotic properties of the density of S are investigated.
Original language | English |
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Pages (from-to) | 424-442 |
Number of pages | 19 |
Journal | Annals of Probability |
Volume | 25 |
Issue number | 1 |
DOIs | |
State | Published - 1 Jan 1997 |
ID: 43811445