By Dmitry Denisov and others

We consider the sums *S_n=\xi_1+\cdots+\xi_n* of independent identically distributed random variables. We do not assume that the *\xi*'s have a finite mean. Under subexponential type conditions on distribution of the summands, we find the asymptotics of the probability *{\bf P}\{M>x\}* as *x\to\infty*, provided that *M=\sup\{S_n,\ n\ge1\}* is a proper random... Show more

March 19, 2013

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