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We prove several results about the asymptotics of the distributions of nonnormalized CRPs Z(t) and Y(t). These results, known as integro-local theorems, are sharper than the central limit theorem and are concerned with the probabilities of Z(t) and Y(t) hitting intervals of small length in the normal deviation zone.
We continue the study of integro-local probabilities that was initiated in Chapter 2 in the normal deviation zone. Now, assuming that the vector (?, ?) satisfies the Cramér moment condition, we study the integro-local probability in a wider zone, which in analogy with random walks can be called the Cramér deviation zone. This zone includes the zones of normal, moderately large, and "usual" large deviations.