A local limit theorem for perturbed random walks (Q1200742)

Let \(X_ 1,X_ 2,X_ 3,\dots\) be i.i.d. non-lattice random variables with \(EX_ 1=0\), \(\text{var}(X_ 1)=1\) and let \(S_ n=X_ 1+X_ 2+\cdots+X_ n\), \(n\geq 1\) \((\{S_ N\}\) is a random walk). \textit{C. Stone's} theorem [Ann. Math. Stat. 36, 546-551 (1965; Zbl 0135.192)] asserts that for each positive number \(L\), \[ \sup_{c\leq L}\sup_{b\in R}|\sqrt n P\{b<S_ n\leq b+c\}-c\phi(b/\sqrt n)|\to 0, \] where \(\phi\) is the standard normal density. The author proves the same asymptotic for perturbated random walk, i.e. the above convergence with \(S_ n\) replaced by \(Z_ n=S_ n+\xi_ n\), where \(S_ n\) is as above and \(\xi_ n\) is a random variable independent of \(X_ n,X_{n+1},\dots\) and satisfying some conditions.