On a multivariate strong renewal theorem

DOI10.1007/S10959-017-0754-4MaRDI QIDQ1800934zbMATH OpenOpenAlexFDO

Publication date 26 October 2018

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

Full work available at URL https://arxiv.org/abs/1412.2026

domains of attraction large deviations regular variation renewal theorem

Rate of growth of functions, orders of infinity, slowly varying functions (26A12) Distribution theory (60E99) Large deviations (60F10) Renewal theory (60K05)

Abstract: This paper takes the so-called probabilistic approach to the Strong Renewal Theorem (SRT) for multivariate distributions in the domain of attraction of a stable law. A version of the SRT is obtained that allows any kind of lattice-nonlattice composition of a distribution. A general bound is derived to control the so-called "small-

n

contribution", which arises from random walk paths that have a relatively small number of steps but make large cumulative moves. The asymptotic negligibility of the small-

n

contribution is essential to the SRT. Applications of the SRT are given, including some that provide a unified treatment to known results but with substantially weaker assumptions.

Review text

For a probability distribution \(F\) on \(\mathbb R^{d}\), the renewal measure is given by \(U(\cdot)=\sum_{n=1}^{\infty}F^{\ast n}(\cdot)\), where \(F^{\ast n}(\cdot)\) is the \(n\)-fold convolution of \(F\). In this paper, the author assumes that \(F\) is in the domain of attraction -- without centering -- of a nondegenerate law, i.e., there exists a sequence \(\{ a_{n}\} \) of positive real numbers such that \(F^{\ast n}(a_{n}dx)\) weakly converges to an \(\alpha\)-stable law. Let \(A(x)\) denote a regularly varying function so that \( A(a_{n})/n\rightarrow 1\). For \(x\in \mathbb R^{d}\), let \(|x|\) denote its Euclidean norm and define \(S^{d-1}=\{ x\in \mathbb R^{d}:|x|=1\} \). In the main result of the paper, the author states conditions so that for \(x\in S^{d-1}\), we have \(\lim_{t\rightarrow \infty}t^{d}U(tx+E)/A(t)=g(x)u(E)\), where \(g(\cdot)\) is a function not identically equal to zero, and \(u(\cdot)\) is a nonzero measure on \(\mathbb R^{d}\). To prove the result, the author considers into detail the contribution of the two parts \(\sum_{n\geq A(\delta |x|)}F^{\ast n}(x+E)\) and \(\sum_{n<A(\delta |x|)}F^{\ast n}(x+E)\). In the paper several corollaries and examples are given.

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