Some new results on local limit theorems with an addendum: On the positions of the maximum of the simple symmetric random walk
- Prelegent(ci)
- Manfred Denker
- Afiliacja
- Georg-August-Universitaet Goettingen
- Termin
- 23 marca 2006 12:15
- Pokój
- p. 5850
- Seminarium
- Seminarium Zakładu Rachunku Prawdopodobieństwa
The topic is two-fold. We first recall the notion of local limit
theorems and show how a multinomial local limit theorem generalizes the
Black-Scholes formula. Secondly we introduce the concept of almost sure local
limit theorems and prove such a result for Bernoulli processes, thus extending
the deMoivre-Laplace theorem to the category of a.s. limit theorems. An
application yields new methods of quantile estimation in statistics.
In the second part of the talk we will consider $X_n$ - i.i.d. random variables with
$P(X_1=1)=P(X_1=-1)=1/2$ and $S_n$ --
the partial sums form the random walk mentioned in the title. We derive
some
(apparently new) observations concerning the positions of the maximum of
the random walk up to time $n$.