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  • Chapter 1. Asymptotic Behavior of Extreme Values of Random Variables and Some Stochastic Processes

Chapter 1. Asymptotic Behavior of Extreme Values of Random Variables and Some Stochastic Processes

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--><!-- Kateryna Akbash and Ivan MatsakVolodymyr Vynnychenko Central Ukrainian State Pedagogical University,Kropyvnytsky, UkraineTaras Shevchenko National University of Kyiv, Ukraine Part of the Book: Stochastic Processes: Fundamentals and Emerging Applications Chapter DOI:https://doi.org/10.52305/ORAC1814 Abstract This chapter presents a review of studies of the almost sure asymptotic behavior of extremal values of independent identically distributed random variables and stochastic processes. The central result here is the law of the iterated logarithm for lim sup, the law of the triple logarithm for lim inf and some of its refinements. Among random processes, regenerative processes, birth and death processes, and processes in queuing systems are considered. Keywords: random variables, extreme values, limit theorems almost sure, regenerativeprocess, birth and death processes, queueing system References [1] Graunt J., Natural and Political Observations Made Upon the Billsof Mortality, Journal of Actuaries, vol. 90, 1662. Available at:http://www.edstephan.org/Graunt/bills.html.[2] Huygens C., The Correspondence of Huygens Concerning the Bills of Mortality ofJohn Graunt, Extracted from Volume V of the Oeuvres Completes of Christiaan Huygens, 1669.[3] Bernoulli N., Dissertatio Inauguralis Mathematico-Juridica de Usu Artis Conjectandi in Jure, Juris doctor Universitat Basel, 56 p., 1709. Available at:https://gallica.bnf.fr/ark:/12148/bpt6k1303890[4] Euler L., Recherches generales sur la mortalite et la multiplication du genre humain,Mem. De lAcad. d. 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J., The Robbins-Siegmund criterion for partial maxima, Annals of Probability, vol. 13, pp. 13691370, 1985.[18] Anderson C. W., Extreme value theory for a class of discrete distribution with application to some stochastic processes, Journal of Applied Probability, vol. 7, pp. 99113,1970.[19] Matsak I. K., Asymptotic behaviour of random variables extreme values. Discretecase, Ukrainian Mathematical Journal, vol. 68, pp. 945956, 2016.[20] Matsak I. K., Limit theorem for extreme values of discrete random variables and itsapplication, Theory of Probability and Mathematical Statistics, vol. 101, pp. 189202,2019.[21] Glasserman P. and Kou S. G., Limits of first passage times to rare sets in regenerativeprocesses, Annals of Applied Probability, vol. 5, pp. 424445, 1995.[22] Akbash K. S. and Matsak I. K., One improvement of the law of the iterated logarithmfor the maximum scheme, Ukrainian Mathematical Journal, vol. 64, no. 8, pp. 12901296, 2013.[23] Bingham N. H., Goldie C. M. and Teugels J. L., Regular Variation, New York: Cambridge University Press, 491 p., 1987.[24] Feller W., An introduction to probability theory and its applications, Vol.II. Wiley Series in Probability and Mathematical Statistics. New York, London, Sydney, J. Wiley& Sons, Inc., 626 p., 1968.[25] Matsak I. K., Asymptotic behavior of maxima of independent randomvariables,Lithuanian Mathematical Journal, vol. 59, pp. 185197, 2019.[26] Pickands J., Sample sequences of maxima, Annals of Mathematical Statistics, vol. 38,no. 5, pp. 1570-1574, 1967.[27] Akbash K., Doronina N. and Matsak I., Asymptotic behavior of maxima of independent random variables. Discrete case, Lithuanian Mathematical Journal, vol. 61, no.2, pp. 145160, 2021.[28] Asmussen S., Extreme values theory for queues via cycle maxima, Extremes, vol. 1,pp. 137168, 1998.[29] Cohen J. W., Extreme values distribution for the M/G/1 and GI/M/1queueing systems,Annales de lInstitut Henri Poincare (B) Probability and Statistics, vol. 4, pp. 8398,1968.[30] Iglehart D. L., Extreme values in the GI/G/1 gueue, Annals of Mathematical Statistics,vol. 43, pp. 627635., 1972.[31] Sadowsky J. and Szpankowski W., Maximum queue length and waiting time revisied:GI/G/c queue, Probability in the Engineering and Informational Sciences, vol. 6, pp.157170, 1995.[32] Serfozo R. F., Extreme values of birdh and death processes and queues, Stochasticprocessess and their applications, vol. 27, pp. 291306, 1988.[33] Dovgay B. V. and Matsak I. K., The asymptotic behavior of extreme values of queuelengths in (M/M/m) systems, Cybernetics and systems analysis, vol. 55, no. 2. pp.171179, 2019.[34] Marynych A. and Matsak I., The laws of iterated and triple logarithms for extremevalues of regenerative processes, Modern Stochastics: Theory and Applications, vol.7, pp. 6178, 2020.[35] Matsak I. K., On the of extreme values of the M/M/m queueing systems, GeorgianMathematical Journal, vol. 28, pp. 917924, 2021.[36] Smith W. L., Renewal theory and its ramifications, Journal of the Royal StatisticalSociety, vol. 20, no. 2, pp. 243302, 1958.[37] Gut A., Stopped Random Walks, Springer, New York, 263 p., 2009. DOI:10.1007/978-0-387-87835-5[38] Buldygin V. V., Indlekofer K., Klesov O. I. and Steinebach J. G., Pseudo-RegularlyVarying Functions and Generalized Renewal Processes, Springer International Publishing, 482 p., 2018.[39] Gnedenko B. V., Kovalenko I. N., Introduction to Queueing Theory, Birkhauser,Boston, 315 p., 1989. DOI:10.1007/978-1-4615-9826-8[40] Gnedenko B. V., Belyayev Yu. K. and Solovyev A. 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