We study the tail asymptotic of sub-exponential probability densities on the real line. Namely, we show that the n-fold convolution of a sub-exponential probability density on the real line is asymptotically equivalent to this density times n. We prove Kesten's bound, which gives a uniform in n estimate of the n-fold convolution by the tail of the density. We also introduce a class of regular sub-exponential functions and use it to find an analogue of Kesten's bound for functions on $\mathbb{R}^d$. The results are applied for the study of the fundamental solution to a nonlocal heat-equation.