A conditional limit theorem for random walks under extreme deviation
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Publication:6234032
arXiv1206.6951MaRDI QIDQ6234032FDOQ6234032
Authors: M. Broniatowski, Zhansheng Cao 
Publication date: 29 June 2012
Abstract: This paper explores a conditional Gibbs theorem for a random walkinduced by i.i.d. (X_{1},..,X_{n}) conditioned on an extreme deviation of its sum (S_{1}^{n}=na_{n}) or (S_{1}^{n}>na_{n}) where a_{n}
ightarrowinfty. It is proved that when the summands have light tails with some additional regulatity property, then the asymptotic conditional distribution of X_{1} can be approximated in variation norm by the tilted distribution at point a_{n}, extending therefore the classical LDP case.
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