Local large deviations and the strong renewal theorem

DOI10.1214/19-EJP319zbMATH Open1467.60068arXiv1612.07635OpenAlexW3102248533MaRDI QIDQ2316596FDOQ2316596

Francesco Caravenna, Ronald A. Doney

Publication date: 6 August 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We establish two different, but related results for random walks in the domain of attraction of a stable law of index $alpha$. The first result is a local large deviation upper bound, valid for $alphain(0,1)cup(1,2)$, which improves on the classical Gnedenko and Stone local limit theorems. The second result, valid for $alphain(0,1)$, is the derivation of necessary and sufficient conditions for the random walk to satisfy the strong renewal theorem (SRT). This solves a long standing problem, which dates back to the 1962 paper of Garsia and Lamperti [Comm. Math. Helv.] for renewal processes (i.e. random walks with non-negative increments), and to the 1968 paper of Williamson [Pacific J. Math.] for general random walks. This paper supersedes the individual preprints arXiv:1507.07502 and arXiv:1507.06790

Full work available at URL: https://arxiv.org/abs/1612.07635

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zbMATH Keywords

regular variationlocal limit theoremrenewal theorem

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

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