Large deviations for random walks under subexponentiality: The big-jump domain
Denisov, D. ; Dieker, A. B. ; Shneer, V.
Ann. Probab., Tome 36 (2008) no. 1, p. 1946-1991 / Harvested from Project Euclid
For a given one-dimensional random walk {Sn} with a subexponential step-size distribution, we present a unifying theory to study the sequences {xn} for which $\mathsf{P}\{S_{n}>x\}\sim n\mathsf{P}\{S_{1}>x\}$ as n→∞ uniformly for x≥xn. We also investigate the stronger “local” analogue, $\mathsf{P}\{S_{n}\in(x,x+T]\}\sim n\mathsf{P}\{S_{1}\in(x,x+T]\}$ . Our theory is self-contained and fits well within classical results on domains of (partial) attraction and local limit theory. ¶ When specialized to the most important subclasses of subexponential distributions that have been studied in the literature, we reproduce known theorems and we supplement them with new results.
Publié le : 2008-09-15
Classification:  Large deviations,  random walk,  subexponentiality,  60G50,  60F10
@article{1221138771,
     author = {Denisov, D. and Dieker, A. B. and Shneer, V.},
     title = {Large deviations for random walks under subexponentiality: The big-jump domain},
     journal = {Ann. Probab.},
     volume = {36},
     number = {1},
     year = {2008},
     pages = { 1946-1991},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1221138771}
}
Denisov, D.; Dieker, A. B.; Shneer, V. Large deviations for random walks under subexponentiality: The big-jump domain. Ann. Probab., Tome 36 (2008) no. 1, pp.  1946-1991. http://gdmltest.u-ga.fr/item/1221138771/