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Exponential densities and compound Poisson measures

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  • Miłosz Baraniewicz
  • Kamil Kaleta

Abstract

We prove estimates at infinity of convolutions fn★$f^{n\star }$ and densities of the corresponding compound Poisson measures for a class of radial decreasing densities on Rd$\mathbb {R}^d$, d≥1$d \ge 1$, which are not convolution equivalent. Existing methods and tools are limited to the situation in which the convolution f2★(x)$f^{2\star }(x)$ is comparable to initial density f(x)$f(x)$ at infinity. We propose a new approach, which allows one to break this barrier. We focus on densities, which are products of exponential functions and smaller order terms—they are common in applications. In the case when the smaller order term is polynomial, estimates are given in terms of the generalized Bessel function. Our results can be seen as the first attempt to understand the intricate asymptotic properties of the compound Poisson and more general infinitely divisible measures constructed for such densities.

Suggested Citation

  • Miłosz Baraniewicz & Kamil Kaleta, 2023. "Exponential densities and compound Poisson measures," Mathematische Nachrichten, Wiley Blackwell, vol. 296(11), pages 5077-5108, November.
    • Handle: RePEc:bla:mathna:v:296:y:2023:i:11:p:5077-5108
    DOI: 10.1002/mana.202200271
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    References listed on IDEAS

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    1. Cline, Daren B. H. & Resnick, Sidney I., 1992. "Multivariate subexponential distributions," Stochastic Processes and their Applications, Elsevier, vol. 42(1), pages 49-72, August.
    2. Embrechts, Paul & Goldie, Charles M., 1982. "On convolution tails," Stochastic Processes and their Applications, Elsevier, vol. 13(3), pages 263-278, September.
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