학술논문

Asymptotics for sums of random variables with local subexponential behaviour
Document Type
Working Paper
Source
Journal of Theoretical Probability, 16 (2003) No.2, 489--518
Subject
Mathematics - Probability
Language
Abstract
We study distributions $F$ on $[0,\infty)$ such that for some $T\le\infty$, $F^{*2}(x,x+T]\sim 2 F(x,x+T]$. The case $T=\infty$ corresponds to $F$ being subexponential, and our analysis shows that the properties for $T<\infty$ are, in fact, very similar to this classical case. A parallel theory is developed in the presence of densities. Applications are given to random walks, the key renewal theorem, compound Poisson process and Bellman-Harris branching processes.