Only Segmented Heavy Tails Can Produce a Light-Tailed Minimum

Sergey Foss, Michael Scheutzow, Anton Tarasenko

A random variable $\hat{I}¾$ has a {\it light-tailed} distribution (for short: is light-tailed) if it possesses a finite exponential moment, $\E \exp (λξ) <\infty$ for some $\hat{I}»>0$, and…