Tail probability and singularity of Laplace-Stieltjes transform of a Pareto type random variable
We give a sufficient condition for a non-negative random variable to be of Pareto type by investigating the Laplace-Stieltjes transform of the cumulative distribution function. We focus on the relation between the singularity at the real point of the axis of convergence and the asymptotic decay of the tail probability. For the proof of our theorems, we apply Graham-Vaaler’s complex Tauberian theorem. As an application of our theorems, we consider the asymptotic decay of the stationary distribution...