Large deviation probabilities for random walks with semiexponential distributions

Alexandre A. Borovkov

Centre for Mathematical Sciences
Mathematical Statistics
Lund Institute of Technology,
Lund University,

ISSN 1403-9338
Random walks with increment distribution F satisfying the tail assumption 1-F(t)=exp(-taL(t)) where 0<a<1 and L is slowly varying are considered. Large deviations result are given for the partial sums as well as for the maximum up to time n. The results include higher order expansions.