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arXiv · 1203.4213

From moment explosion to the asymptotic behavior of the cumulative distribution for a random variable

Sidi Mohamed Aly
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Abstract

We study the Tauberian relations between the moment generating function (MGF) and the complementary cumulative distribution function of a random variable whose MGF is finite only on part of the real line. We relate the right tail behavior of the cumulative distribution function of such a random variable to the behavior of its MGF near the critical moment. We apply our results to an arbitrary superposition of a CIR process and the time-integral of this process.

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Sidi Mohamed Aly. 2016-08-05. From moment explosion to the asymptotic behavior of the cumulative distribution for a random variable. https://arxiv.org/abs/1203.4213

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