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Zap. Nauchn. Sem. POMI, 2008 Volume 361, Pages 109–122 (Mi znsl2184)

Small deviations of modified sums of independent random variables

L. V. Rozovskii

Saint-Petersburg Chemical-Pharmaceutical Academy

Abstract: Let $S_n=X_1+\dots+X_n$, $n\ge1$, $S_0=0$, where $X_1,X_2,\dots$ are independent identically distributed random variables such that the distributions of $S_n/B_n$ converge weakly to nondegenerate distribution $F_\alpha$ as $n\to\infty$ for some positive $B_n$.
We study the asymptotic behavior of sums such as
$$ \sum_{n\ge1}f_n\,\mathbf P\Bigl(\frac1{B_n}R^*_n\le\frac r{\phi_n}\Bigr),\qquad r\nearrow\infty, $$
where
$$ R^*_n=\max_{0\le k\le n}(S_k+d(k/n)\,S_n)-\min_{0\le k\le n}(S_k+d(k/n)\,S_n), $$
a function $d(t)$ is continuous on $[0,1]$ and has a power decrease at zero point
$$ f_n\ge0,\qquad\sum_{n\ge1}f_n=\infty,\qquad\phi_n\nearrow\infty. $$
Bibl. – 13 titles.

UDC: 519.21

Received: 15.10.2008


 English version:
Journal of Mathematical Sciences (New York), 2009, 159:3, 341–349

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