Precise asymptotics in Spitzer and Baum-Katz's law of large numbers: The semistable case. (Q1421193)

Let \(X_1, X_2,\dots\) be i.i.d. random variables with \(EX=0\), and set \(S_{n}=X_1+\dots+X_{n}\). The paper contains the following results. Theorem 1. Assume that \(X_1\) belongs to the domain of semistable attraction of a nondegenerate semistable distribution with exponent \(\alpha\). If \(0<p<\alpha<2\), then \[ \lim_{\varepsilon \searrow 0}(1/(-\log\varepsilon))\sum_{n\geq 1}(1/n)P(| S_{n}| \geq \varepsilon n^{1/p})=((\alpha p)/(\alpha-p)). \] This extends previous work of the reviewer [J. Theor. Probab. 12, 811--819 (1999; Zbl 0932.60026)] and \textit{A. Gut} and the reviewer [J. Math. Anal. Appl. 248, 233--246 (2000; Zbl 0961.60039)]. Theorem 2. Suppose that \(X_1\) belongs to the normal domain of semistable attraction of a nondegenerate semistable distribution with exponent \(\alpha \in (0,2)\). Then \[ \lim_{\varepsilon \searrow 0}(1/(-\log\varepsilon))\sum_{n\geq 2}(1/(n\log n))P(| S_{n}| \geq \varepsilon(n\log n)^{1/\alpha})=\alpha. \]