Some Tauberian theory for the q-Lagrange inversion

We consider formal power series defined through the functional q-equation of the q-Lagrange inversion. Under some assumptions, we obtain the asymptotic behavior of the coefficients of these power series. As a by-product, we show that, via the 1/q-Borel transform, the q-Lagrange inversion formula provides an interpolation between the usual Lagrange inversion (q=1) and the probabilistic theory of renewal sequences (q tends to 0). We also discuss some new solutions of the q-Lagrange inversion equation which do not vanish at 0.Comment: 46 page

Invariance principles for some FARIMA and nonstationary linear processes in the domain of a stable distribution

We prove some invariance principles for processes which generalize FARIMA processes, when the innovations are in the domain of attraction of a nonGaussian stable distribution. The limiting processes are extensions of the fractional L\'evy processes. The technique used is interesting in itself; it extends an older idea of splitting a sample into a central part and an extreme one, analyzing each part with different techniques, and then combining the results. This technique seems to have the potential to be useful in other problems in the domain of nonGaussian stable distributions.Comment: 77 pages, 1 figur

Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications

We establish some asymptotic expansions for infinite weighted convolution of distributions having regular varying tails. Various applications to statistics and probability are developed.Comment: 125 page

Asympyotic expansions for infinite weighted convolutions of light subexponential distributions

We establish some asymptotic expansions for infinite weighted convolutions of distributions having light subexponential tails. Examples are presented, some showing that in order to obtain an expansion with two significant terms, one needs to have a general way to calculate higher order expansions, due to possible cancellations of terms. An algebraic methodology is employed to obtain the results.Comment: 30 page

On q-algebraic equations and their power series solutions

We study the existence of formal power series solutions to q-algebraic equations. When a solution exists, we give a sufficient condition on the equation for this solution to have a positive radius of convergence. We emphasize on the case where the solution is divergent, giving a sharp estimate on the growth of the coefficients. As a consequence, we obtain a bound on the q-Gevrey order of the formal solution, which is optimal in some cases. Various examples illustrate our main results.Comment: 53 pages, 1 figure. Theorem 2.3.4 in the previous version was wrong and is not in this versio

Asymptotic expansions for distributions of compound sums of light subexponential random variables

We derive an asymptotic expansion for the distribution of a compound sum of independent random variables, all having the same light-tailed subexponential distribution. The examples of a Poisson and geometric number of summands serve as an illustration of the main result. Complete calculations are done for a Weibull distribution, with which we derive, as examples and without any difficulties, 7 terms expansions.Comment: 13 page

q-Catalan bases and their dual coefficients

We define q-Catalan bases which are a generalization of the q-polynomials z^n(z,q)_n. The determination of their dual bases involves some q-power series termed dual coefficients. We show how these dual coefficients occur in the solution of some equations with q-commuting coefficients and solve an abstract q-Segner recursion. We study the connection between this theory and Garsia's (1981). The overall flavor of this work is to show how some properties of q-Catalan numbers are in fact instances of much more general results on dual coefficients.Comment: 46 page

Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution

Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for processes which encompass the fractionally differentiated random walk as well as some FARIMA processes, when the innovations are in the domain of attraction of a nonGaussian stable distribution.Comment: 17 page

Ruin probabilities in tough times - Part 1 - Heavy-traffic approximation for fractionally integrated random walks in the domain of attraction of a nonGaussian stable distribution

Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for process which encompass the fractionally integrated random walk as well as some FARIMA processes, when the innovations are in the domain of attraction of a nonGaussian stable distribution.Comment: 52 page

q-Algebraic Equations, their power series solutions, and the asymptotic behavior of their coefficients

We give a systematic study of q-algebraic equations. The questions of existence, uniqueness and regularity of the solutions are solved in the space of grid-based Hahn series. The regularity is understood in terms of asymptotic behavior of coefficients, and is the main focus of this work. The results and algorithms are illustrated by many examples.Comment: 306 pages, 65 figure