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This article is cited in 18 scientific papers (total in 18 papers)
Integro-local limit theorems including large deviations for sums of random vectors. II
A. A. Borovkov, A. A. Mogul'skii Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
Abstract:
This paper is a continuation of [A. A. Borovkov and A. A. Mogulskii, Theory Probab. Appl., 43 (1998), pp. 1–12] and [A. A. Borovkov and A. A. Mogulskii, Siberian Math. J., 37 (1996), pp. 647–682]. Let $S(n)=\xi(1)+\cdots +\xi(n)$ be the sum of independent nondegenerate random vectors in $\mathbf{R}^d$ having the same distribution as a random vector $\xi$. It is assumed that $\varphi(\lambda)= \mathbf{E} \,e^{\langle\lambda,\xi\rangle}$ is finite in a vicinity of a point ${\lambda \in \mathbf{R}^d}$. We obtain asymptotic representations for the probability $\mathbf{P}\{S(n)\in \Delta (x)\}$ and the renewal function $H(\Delta (x))= \sum_{n=1}^{\infty}\mathbf{P}\{S(n)\in \Delta (x)\}$, where $\Delta(x)$ is a cube in $\mathbf{R}^d$ with a vertex at point $x$ and the edge length $\Delta$. In contrast to the above-mentioned papers, the obtained results are valid, in essence, either without any additional assumptions or under very weak restrictions.
Keywords:
large deviations, rate function, renewal function, integro-local theorem, arithmetic distribution, lattice distribution, nonlattice distribution.
Received: 12.02.1999
Citation:
A. A. Borovkov, A. A. Mogul'skii, “Integro-local limit theorems including large deviations for sums of random vectors. II”, Teor. Veroyatnost. i Primenen., 45:1 (2000), 5–29; Theory Probab. Appl., 45:1 (2001), 3–22
Linking options:
https://www.mathnet.ru/eng/tvp322https://doi.org/10.4213/tvp322 https://www.mathnet.ru/eng/tvp/v45/i1/p5
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