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JOURNALS // Sibirskii Matematicheskii Zhurnal // Archive

Sibirsk. Mat. Zh., 2006 Volume 47, Number 6, Pages 1218–1257 (Mi smj930)

This article is cited in 19 papers

Integro-local and integral theorems for sums of random variables with semiexponential distributions

A. A. Borovkov, A. A. Mogul'skii

Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences

Abstract: We obtain some integro-local and integral limit theorems for the sums $S(n)=\xi(1)+\dots+\xi(n)$ of independent random variables with general semiexponential distribution (i.e., a distribution whose right tail has the form $\mathbf P(\xi\geqslant t)=e^{-t^{\beta}L(t)}$, where $\beta\in(0,1)$ and $L(t)$ is a slowly varying function with some smoothness properties). These theorems describe the asymptotic behavior as $x\to\infty$ of the probabilities
$$ \mathbf P(S(n)\in[x,x+\Delta))\textrm{ and }\mathbf P(S(n)\geqslant x) $$
in the zone of normal deviations and all zones of large deviations of $x$: in the Cramer and intermediate zones, and also in the “extreme” zone where the distribution of $S(n)$ is approximated by that of the maximal summand.

Keywords: semiexponential distribution, integro-local theorem, Cramér series, segment of the Cramér series, random walk, large deviations, Cramér zone of deviations, intermediate zone of deviations, zone of approximation by the maximal summand.

UDC: 519.21

Received: 29.08.2006


 English version:
Siberian Mathematical Journal, 2006, 47:6, 990–1026

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