Supremum Distribution of Weighted Sum of Random Processes from Orlicz Spaces of Exponential Type with Continuous Deviation
Dmytro Tykhonenko,
Rostyslav Yamnenko
Abstract:The paper studies distribution of sum of random processes from Orlicz spaces of exponential type weighted by continuous functions, in particular, processes from spaces Subϕ (Ω), SSubϕ (Ω) and class V (ϕ, ψ) are considered. Such spaces and classes of random variables and corresponding stochastic processes provide generalizations of Gaussian and sub-Gaussian random variables and processes and are important for various applications, for example, in queuing theory and financial mathematics. We derive the estimates… Show more
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