Nonlinear Markov renewal theory with statistical applications (Q1196938): Difference between revisions

Let \(X_ 1,X_ 2,\dots\) be independent and identically distributed random variables with partial sums \(S_ n=\sum_{i=1}^ n x_ i\). Put \(\tau_ a=\inf\{n\geq 1\): \(S_ n>a\}\). A classical renewal theory result concerns the convergence in distribution of the overshoots \(S_{\tau_ a}-a\) as \(a\to\infty\). Two main generalizations exist: one to the case where the \(X_ i\)'s may be dependent, the other allowing for disturbances \(\xi_ n\) in which case the overshoots of \(S_ n+\xi_ n\) are considered. Results are obtained for a model that combines these two types of generalization.