Large deviations for Minkowski sums of heavy-tailed random compact sets

Series
Mathematical Finance/Financial Engineering Seminar
Time
Friday, February 11, 2011 - 3:05pm for 1 hour (actually 50 minutes)
Location
Skiles 002
Speaker
Gennady Samorodnitsky – School of Operations Research and Information Engineering, Cornell University
Organizer
Liang Peng

Please Note: Hosted by Christian Houdre and Liang Peng

We prove large deviation results for Minkowski sums S_n of iid random compact sets, both convex and non-convex, where we assume that the summands have a regularly varying distribution and either finite or infinite expectation. The results confirm the heavy-tailed large deviation heuristics: "large'' values of the sum are essentially due to the "largest'' summand.