Large deviations for random walks under subexponentiality: The big-jump domain (Q948750): Difference between revisions

The authors consider a one-dimensional random walk \(\{S_n\}\) with subexponential step-size distribution. For given \(T\in ]0,\infty]\), they are interested in the existence of some sequence \(\{x_n\}\) such that \(\sup_{x\geq x_n}| \frac{P(S_n\in]x,x+T])}{nP(S_1\in]x,x+T])}-1| \to 0\). They present a unified theory which reproduces the sharpest known results with short proofs, and allows to improve upon the best-known orders of magnitude and to derive new results in some cases.