A tauberian theorem for random walk |
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Authors: | Harry Kesten |
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Institution: | 1. Aarhus University, Aarhus, Denmark 2. Cornell University, Ithaca, New York
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Abstract: | LetX 1,X 2,... be independent random variables, all with the same distribution symmetric about 0; $$S_n = \sum\limits_{i = 1}^n {X_i } $$ It is shown that if for some fixed intervalI, constant 1<a≦2 and slowly varying functionM one has $$\sum\limits_{k = 1}^n {P\{ S_k \in I\} \sim \frac{{n^{1 - 1/\alpha } }}{{M(n)}}} (n \to \infty )$$ then theX i belong to the domain of attraction of a symmetric stable law. |
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