DEC-Statistics Seminar @ Bocconi University, Milano

Thursday, September 27 12:30 Meeting room 3-e4-sr03, Via Roentgen 1, 3rd floor

Francesco Caravenna (Universita' degli studi di Milano - Bicocca)

Title: Local large deviations and the strong renewal theorem

Abstract: We present two different, but related results for random walks with heavy tails (more precisely: in the domain of attraction of a stable law with infinite mean). The first result is a local large deviation upper bound, which improves on the classical local central limit theorem. The second result is the derivation of necessary and sufficient conditions for the so-called strong renewal theorem, which is the analogue of Blackwell's renewal theorem in the case of infinite mean. This solves a long standing problem, which dates back to a classical paper by Garsia and Lamperti (Comment. Math. Helv. 1962). (Based on joint work with Ron Doney)

The DEC statistics seminars schedule is available at http://www.unibocconi.eu/statseminar

----------

Please note: If you are a guest and you do not have a Bocconi ID Card to access to the Bocconi Buildings, please communicate your participation by sending an email to arianna.colombo@unibocconi.it In addition, we suggest to print, fill out and send the attached form (to give your consent to personal data handling) via email to the same address. In this way, the check-in procedure at the entrance will be faster and easier.