Asymptotics for sums of random variables with local subexponential behaviour

DOI10.1023/A:1023535030388MaRDI QIDQ1397972zbMATH OpenOpenAlexFDO

Authors Søren Asmussen, Sergey Foss, Dmitry Korshunov

Publication date 6 August 2003

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.4709

zbMATH Keywords

Subexponential distributionsDistribution tailsLocal probabilitiesSums of independent random variables

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Sums of independent random variables; random walks (60G50)

Abstract: We study distributions $F$ on $[0,infty)$ such that for some $Tleinfty$, $F^{\ast 2}(x,x+T]sim2F(x,x+T]$. The case $T=infty$ corresponds to $F$ being subexponential, and our analysis shows that the properties for $T<infty$ are, in fact, very similar to this classical case. A parallel theory is developed in the presence of densities. Applications are given to random walks, the key renewal theorem, compound Poisson process and Bellman-Harris branching processes.

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