Blackwell-type theorems for weighted renewal functions

Publication date 17 December 2014

Abstract: For a numerical sequence

a_{n}

satisfying broad assumptions on its "behaviour on average" and a random walk

S_{n} = x i_{1} + ... + x i_{n}

with i.i.d. jumps

x i_{j}

with positive mean

m u

, we establish the asymptotic behaviour of the sums [sum_{nge 1} a_n pr (S_nin[x, x+D)) quad as quad x o infty,] where

D > 0

is fixed. The novelty of our results is not only in much broader conditions on the weights

a_{n}

, but also in that neither the jumps

x i_{j}

nor the weights

a_{j}

need to be positive. The key tools in the proofs are integro-local limit theorems and large deviation bounds. For the jump distribution

F

, we consider conditions of four types: (a) the second moment of

x i_{j}

is finite, (b)

F

belongs to the domain of attraction of a stable law, (c) the tails of

F

belong to the class of the so-called locally regularly varying functions, (d)

F

satisfies the moment Cram'er condition. Regarding the weights, in cases (a)--(c) we assume that

a_{n}

is a so-called

p s i

-locally constant on average sequence,

p s i (n)

being the scaling factor ensuring convergence of the distributions of

(S_{n} - m u n) / p s i (n)

to the respective stable law. In case (d) we consider sequences of weights of the form

a_{n} = b_{n} e^{q n},

where

b_{n}

has the properties assumed about the sequence

a_{n}

in cases (a)--(c) for

p s i (n) = s q r t n .

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