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JOURNALS // Matematicheskie Trudy // Archive

Mat. Tr., 2008 Volume 11, Number 1, Pages 81–112 (Mi mt118)

Superlarge deviations for sums of random variables with arithmetical super-exponential distributions

A. A. Mogulskiĭab, Ch. Pagma

a Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
b Novosibirsk State University

Abstract: Local limit theorems are obtained for superlarge deviations of sums $S(n)=\xi(1)+\dots+\xi(n)$ of independent identically distributed random variables having an arithmetical distribution with the right-hand tail decreasing faster that that of a Gaussian law. The distribution of $\xi$ has the form $\mathbb P(\xi=k)=e^{-k^\beta L(k)}$, where $\beta>2$, $k\in\mathbb Z$ ($\mathbb Z$ is the set of all integers), and $L(t)$ is a slowly varying function as $t\to\infty$ which satisfies some regularity conditions. These theorems describing an asymptotic behavior of the probabilities $\mathbb P\bigl(S(n)=k\bigr)$ as $k/n\to\infty$, complement the results on superlarge deviations in [1, 2].

Key words: arithmetical super-exponential distribution, integro-local and local theorems, superlarge deviations, deviation function, random walk, Gaussian approximation, Poissonian approximation.

UDC: 514.76+517.98

Received: 31.01.2007


 English version:
Siberian Advances in Mathematics, 2008, 18:3, 185–208

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