Large deviations view points for heavy-tailed random walks

DOI10.1023/B:JOTP.0000040298.43712.E8zbMATH Open1068.60038OpenAlexW2074283737MaRDI QIDQ702407FDOQ702407

Authors: D. Kharzeev 

Publication date: 17 January 2005

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

Full work available at URL: https://doi.org/10.1023/b:jotp.0000040298.43712.e8

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zbMATH Keywords

heavy tailsLogarithmic tail asymptotics

Mathematics Subject Classification ID

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

Cited In (22)

• A supplement to the laws of large numbers and the large deviations
• Limit theorems for a generalized St Petersburg game
• Large deviations of sums mainly due to just one summand for super-heavy tailed distributions
• Limit theorems for a generalized Feller game
• On large deviations of multivariate heavy-tailed random walks
• Limit behaviors for a heavy-tailed \(\beta\)-mixing random sequence
• Power estimates for ruin probabilities
• Large deviations viewpoints for a heavy-tailed \(\beta\)-mixing sequence
• Large deviations for dependent heavy tailed random variables
• Winning ``Big in the St. Petersburg game
• Exact convergence rates in Erdős-Rényi type theorems for renewal processes
• Large deviations for super-heavy tailed random walks
• Title not available (Why is that?)
• A general large deviation result for partial sums of i.i.d. super-heavy tailed random variables
• Heavy points of a \(d\)-dimensional simple random walk
• Large deviations for a super-heavy tailed \(\beta\)-mixing sequence
• Large gains in the St. Petersburg game
• A general logarithmic asymptotic behavior for partial sums of i.i.d. random variables
• Large deviations for some dependent heavy tailed random sequences
• Limit behaviors for a \(\beta \)-mixing sequence in the St. Petersburg game
• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
• Upper and lower bounds of large deviations for some dependent sequences

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