S. Asmussen

activity

20072019

most citedAsymptotics for sums of random variables with local subexponential behaviour

7 citations · 10 across the 3 of their papers we have counts for

collaborators

Showing 2017 · math.PRShow all

2 papers · 2 filters

math.PR2017

Tail asymptotics of light-tailed Weibull-like sums

Søren Asmussen, Enkelejd Hashorva, Patrick J. Laub +1

We consider sums of $n$ i.i.d. random variables with tails close to $exp {- x^{β}}$ for some $β > 1$ . Asymptotics developed by Rootzén (1987) and Balkema, Klüppelberg & Resnick (1993)…

math.PR2017

Discretization error for a two-sided reflected Lévy process

Søren Asmussen, Jevgenijs Ivanovs

An obvious way to simulate a Lévy process $X$ is to sample its increments over time $1/ n$ , thus constructing an approximating random walk $X^{(n)}$ . This paper considers the error…