Large deviation probabilities for random walks with semiexponential distributions
Alexandre A. Borovkov
Centre for Mathematical Sciences
Mathematical Statistics
Lund Institute of Technology,
Lund University,
2000
ISSN 14039338

Abstract:

Random walks with increment distribution F satisfying the tail assumption
1F(t)=exp(t^{aL(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.

