Renewal theory and level passage by subordinators (Q1805960): Difference between revisions

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Latest revision as of 10:33, 30 July 2024

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Renewal theory and level passage by subordinators
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    Renewal theory and level passage by subordinators (English)
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    16 July 2001
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    Renewal processes (nondecreasing partial-sum processes) generated by infinitely divisible life times are used as stepping stones between general nondecreasing partial-sum processes and nondecreasing Lévy processes (subordinators). In this way the limit distributions are conjectured of the `undershoot' and `overshoot' at the passage of a high level by subordinators. These conjectures are then proved by Lévy-process methods.
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    infinite divisibility
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    renewal theory
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    Lévy processes
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