Local limit theorem for the maximum of asymptotically stable random walks

DOI10.1007/S00440-010-0326-3MaRDI QIDQ2428508zbMATH OpenOpenAlexFDO

Authors Vitali Wachtel

Publication date 26 April 2012

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://opus.bibliothek.uni-augsburg.de/opus4/files/54971/54971.pdf

zbMATH Keywords

limit theoremsrandom walksrenewal theorem

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sums of independent random variables; random walks (60G50) Stable stochastic processes (60G52) Renewal theory (60K05)

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Cites work

• A discrete renewal theorem with infinite mean
• Estimating the rate of convergence for the distribution of the maximum sums of independent random quantities
• scientific article; zbMATH DE number 3436395 (Why is no real title available?)
• Invariance principles for random walks conditioned to stay positive
• Local probabilities for random walks conditioned to stay positive
• On a Local Limit Theorem for the Maximum of Sums of Independent Random Variables
• On the local behaviour of ladder height distributions
• One-sided local large deviation and renewal theorems in the case of infinite mean
• Random walks and Riesz kernels
• The asymptotic behavior of densities related to the supremum of a stable process
• Wiener – hopf factorization revisited and some applications

Cited in

(8)

• Almost invariance of distributions for random walks on groups
• Local behaviour of first passage probabilities
• Local asymptotics of the cycle maximum of a heavy-tailed random walk
• On the local behaviour of ladder height distributions
• First-Passage Times over Moving Boundaries for Asymptotically Stable Walks
• Asymptotics of the maximum sum of randomly stopped finite random walks with subexponential distribution
• A simple random walk staying in a strip for a long time
• The entropic Erdős-Kac limit theorem

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