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A LOCAL LIMIT THEOREM FOR MODERATE DEVIATIONS
Published online by Cambridge University Press: 18 April 2001
Abstract
The purpose of this note is to establish a uniform estimate for the mass function ℙ(Sm = y) of an integer-valued random walk when y → ∞ and (y − mμ)/√m → ∞, where μ is the mean of the step distribution. (The local central limit theorem provides such an estimate when (y − mμ)/√m is bounded.) The assumptions are that the mass function p of the step distribution is regularly varying at ∞ with index −κ, where κ > 3, and that [sum ]∞n=0nκ′p(−n) < ∞ for some κ′ > 2. From this result, a ratio limit theorem is derived, and this in turn is applied to yield some new information about the space–time Martin boundary of certain random walks.
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- © The London Mathematical Society 2001
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