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A tauberian theorem for random walk
Authors:Harry Kesten
Institution:1. Aarhus University, Aarhus, Denmark
2. Cornell University, Ithaca, New York
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.
Keywords:
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