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Large deviation asymptotics for a random variable with Lévy measure supported by $[0, 1]$

Published 11 Jun 2016 in math.PR | (1606.03524v1)

Abstract: Asymptotics for Dickman's number theoretic function $\rho(u)$, as $u \rightarrow \infty$, were given de Bruijn and Alladi, and later in sharper form by Hildebrand and Tenenbaum. The perspective in these works is that of analytic number theory. However, the function $\rho(\cdot)$ also arises as a constant multiple of a certain probability density connected with a scale invariant Poisson process, and we observe that Dickman asymptotics can be interpreted as a Gaussian local limit theorem for the sum of arrivals in a tilted Poisson process, combined with untilting. In this paper we exploit and extend this reasoning to obtain analogous asymptotic formulas for a class of functions including, in addition to Dickman's function, the densities of random variables having L\'evy measure with support contained in $[0,1]$, subject to mild regularity assumptions.

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