English

Strong renewal theorems with infinite mean beyond local large deviations

Probability 2015-05-29 v1

Abstract

Let FF be a distribution function on the line in the domain of attraction of a stable law with exponent α(0,1/2]\alpha\in(0,1/2]. We establish the strong renewal theorem for a random walk S1,S2,S_1,S_2,\ldots with step distribution FF, by extending the large deviations approach in Doney [Probab. Theory Related Fileds 107 (1997) 451-465]. This is done by introducing conditions on FF that in general rule out local large deviations bounds of the type P{Sn(x,x+h]}=O(n)F(x)/x\mathbb{P}\{S_n\in(x,x+h]\}=O(n)\overline{F}(x)/x, hence are significantly weaker than the boundedness condition in Doney (1997). We also give applications of the results on ladder height processes and infinitely divisible distributions.

Keywords

Cite

@article{arxiv.1505.07622,
  title  = {Strong renewal theorems with infinite mean beyond local large deviations},
  author = {Zhiyi Chi},
  journal= {arXiv preprint arXiv:1505.07622},
  year   = {2015}
}

Comments

Published at http://dx.doi.org/10.1214/14-AAP1029 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-06-22T09:42:59.425Z