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arXiv 0908.0642math.PR
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指数Tauberian定理的上、下界

Upper and Lower Bounds in Exponential Tauberian Theorems

Jochen Voss

摘要:

本文研究了正随机变量在无穷远处的拉普拉斯变换的性质与零附近分布之间的关系。De Bruijn的一个结果表明,对于$λ\to\infty$的$E(e^{-λX}) \sim \exp(rλ^α)$和对于$ε\downarrow0$的$P(X\leqε) \sim \exp(s/ε^β)$在某种意义上是等价的(对于$1/α= 1/β+ 1$),并给出了常数$r$和$s$之间的关系。我们说明了如何使用这个结果来获得简单的大偏差结果。为了在更复杂的情况下使用,我们也给了一个概括的De Bruijn的结果的情况下,当上限和下限是彼此不同的。

英文摘要:

In this text we study, for positive random variables, the relation between the behaviour of the Laplace transform near infinity and the distribution near zero. A result of De Bruijn shows that $E(e^{-λX}) \sim \exp(rλ^α)$ for $λ\to\infty$ and $P(X\leqε) \sim \exp(s/ε^β)$ for $ε\downarrow0$ are in some sense equivalent (for $1/α= 1/β+ 1$) and gives a relation between the constants $r$ and $s$. We illustrate how this result can be used to obtain simple large deviation results. For use in more complex situations we also give a generalisation of De Bruijn's result to the case when the upper and lower limits are different from each other.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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