Abstract
We study the properties of subexponential distributions and find new sufficient and necessary conditions for membership in the class of these distributions. We establish a connection between the classes of subexponential and semiexponential distributions and give conditions for preservation of the asymptotics of subexponential distributions for “functions of distributions”. We address similar problems for the class of the so-called locally subexponential distributions. As an application of these results, we refine the asymptotics of the distribution of the supremum of sequential sums of random variables with negative drift, in particular, local theorems.
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Borovkov, A.A. On Subexponential Distributions and Asymptotics of the Distribution of the Maximum of Sequential Sums. Siberian Mathematical Journal 43, 995–1022 (2002). https://doi.org/10.1023/A:1021109132124
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DOI: https://doi.org/10.1023/A:1021109132124