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Small deviations of series of independent positive random variables with weights close to exponential
Authors:A. A. Borovkov  P. S. Ruzankin
Affiliation:(1) Sobolev Institute of Mathematics, Novosibirsk State University, Novosibirsk, 630090, Russia
Abstract:
Let ξ, ξ0, ξ1, ... be independent identically distributed (i.i.d.) positive random variables. The present paper is a continuation of the article [1] in which the asymptotics of probabilities of small deviations of series S = Σ j=0 a(j j was studied under different assumptions on the rate of decrease of the probability ?(ξ < x) as x → 0, as well as of the coefficients a(j) ≥ 0 as j → ∞. We study the asymptotics of ?(S < x) as x → 0 under the condition that the coefficients a(j) are close to exponential. In the case when the coefficients a(j) are exponential and ?(ξ < x) ~ bx α as x → 0, b > 0, a > 0, the asymptotics ?(S < x) is obtained in an explicit form up to the factor x o(1). Originality of the approach of the present paper consists in employing the theory of delayed differential equations. This approach differs significantly from that in [1].
Keywords:small deviations  series of independent random variables  delayed differential equations
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