Asymptotic expansions in a boundary problem (Q1056983)

Let \(\{\xi_ i^{(j)}\}^{\infty}_{i=1}\), \(j=1,2\), be two mutually independent sequences of i.i.d. random variables on condition that \(P(\xi_ i^{(2)}\geq 0)=1\). Set \(S_ 0^{(j)}=0\), \(S_ k^{(j)}=\xi_ l^{(j)}+\xi_ 2^{(j)}+...+\xi_ k^{(j)}\), \(\eta (t)=\sup \{k\geq 0: S_ k^{(2)}<t\}\), \(\xi (t)=S^{(l)}_{\eta (t)}\), \(T=\inf \{t: \xi (t)\not\in (-a,b)\}\) \((a>0\), \(b>0)\), \(Y=\xi (T).\) In this paper, the total asymptotic expansions of probabilities \[ P(T<t,\quad Y\in A),\quad A\subset (-\infty,a]\cup [b,\infty), \] \[ P(T>t,\quad \xi (t)\in B),\quad B\subset (-a,b) \] are found as \(t\to \infty\) in a region of normal and large deviations, e.g. when \(a=a(t)\to \infty\), \(b=b(t)\to \infty\), \(C\sqrt{t}\leq a+b=o(t)\).