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math.PR2025
Large deviation probabilities for sums of censored random variables with regularly varying distribution tails
Aaron Chong, Konstantin Borovkov
Let be a sequence of independent and identically distributed random variables with zero mean, finite second moment and regularly varying right distribution tail…
math.PR2025
On large deviation probabilities for self-normalized sums of random variables
Konstantin Borovkov
We reduced the large deviation problem for a self-normalized random walk to one for an auxiliary usual bivariate random walk. This enabled us to prove the classical theorem for sel…
math.PR2024
On time-dependent boundary crossing probabilities of diffusion processes as differentiable functionals of the boundary
Vincent Liang, Konstantin Borovkov
The paper analyses the sensitivity of the finite time horizon boundary non-crossing probability of a general time-inhomogeneous diffusion process to perturbations of the bou…