Large deviations view points for heavy-tailed random walks

DOI10.1023/B:JOTP.0000040298.43712.E8zbMath1068.60038OpenAlexW2074283737MaRDI QIDQ702407

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

zbMATH Keywords

heavy tailsLogarithmic tail asymptotics

Mathematics Subject Classification ID

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

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Winning ``Big in the St. Petersburg game ⋮ A supplement to the laws of large numbers and the large deviations ⋮ A general large deviation result for partial sums of i.i.d. super-heavy tailed random variables ⋮ Limit behaviors for a heavy-tailed \(\beta\)-mixing random sequence ⋮ Large deviations of sums mainly due to just one summand for super-heavy tailed distributions ⋮ Large deviations for dependent heavy tailed random variables ⋮ Large gains in the St. Petersburg game ⋮ Power estimates for ruin probabilities ⋮ Upper and lower bounds of large deviations for some dependent sequences ⋮ Large deviations for super-heavy tailed random walks ⋮ Limit Theorems for a Generalized Feller Game ⋮ Limit Theorems for a Generalized ST Petersburg Game ⋮ On large deviations of multivariate heavy-tailed random walks

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