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Improvements of Plachky-Steinebach theorem

Probability 2020-03-10 v2 Dynamical Systems

Abstract

We show that the conclusion of Plachky-Steinebach theorem holds true for intervals of the form ]Lr(λ),y[\left]\overline{L}_r'(\lambda),y\right[, where Lr(λ)\overline{L}_r'(\lambda) is the right derivative (but not necessarily a derivative) of the generalized log-moment generating function L\overline{L} at some λ>0\lambda> 0 and y ]Lr(λ),+]y\in\ \left]\overline{L}_r'(\lambda),+\infty\right], under the only two following conditions: (a)(a) Lr(λ)\overline{L}'_r(\lambda) is a limit point of the set {Lr(t):t>λ}\left\{\overline{L}'_r(t):t>\lambda\right\}, (b)(b) L(ti)\overline{L}(t_i) is a limit for a suitable sequence (ti)(t_i). By replacing Lr(λ)\overline{L}_r'(\lambda) by Lr(λ+)\overline{L}_r'(\lambda^+), the above result extends verbatim to the case λ=0\lambda=0 (replacing (a)(a) by the right continuity of L\overline{L} at zero when Lr(0+)=\overline{L}_r'(0^+)=-\infty). No hypothesis is made on L],λ[\overline{L}_{]-\infty,\lambda[} (e.g. L],λ[\overline{L}_{]-\infty,\lambda[} may be the constant ++\infty when λ=0\lambda=0); λ0\lambda\ge 0 may be a non-differentiability point of L\overline{L} and moreover a limit point of non-differentiability points of L\overline{L}; λ=0\lambda=0 may be a left and right discontinuity point of L\overline{L}. The map L]λ,λ+ε[\overline{L}_{\mid ]\lambda,\lambda+\varepsilon[} may fail to be strictly convex for all ε>0\varepsilon>0. If we drop the assumption (b)(b), then the same conclusion holds with upper limits in place of limits. The foregoing is valid for general nets (μα,cα)(\mu_\alpha,c_\alpha) of Borel probability measures and powers and replacing the intervals ]Lr(λ+),y[\left]\overline{L}_r'(\lambda^+),y\right[ by ]xα,yα[]x_\alpha,y_\alpha[ or [xα,yα][x_\alpha,y_\alpha], where (xα,yα)(x_\alpha,y_\alpha) is any net such that (xα)(x_\alpha) converges to Lr(λ+)\overline{L}_r'(\lambda^+) and lim infαyα>Lr(λ+)\liminf_\alpha y_\alpha>\overline{L}_r'(\lambda^+).

Keywords

Cite

@article{arxiv.1706.06732,
  title  = {Improvements of Plachky-Steinebach theorem},
  author = {Henri Comman},
  journal= {arXiv preprint arXiv:1706.06732},
  year   = {2020}
}

Comments

16 pages; minor changes; final version, to appear in Theory of Probability and its Applications