Boundary crossing problems for compound renewal processes
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- Integro-local theorems in boundary crossing problems for compound renewal processes
- Large deviation principles for trajectories of compound renewal processes. I
- On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process
- On the asymptotics of the probability to stay above a non-increasing boundary for a non-homogeneous compound renewal process
- Integral theorems for the first passage time of an arbitrary boundary by a compound renewal process
Cites work
- scientific article; zbMATH DE number 3500818 (Why is no real title available?)
- scientific article; zbMATH DE number 1899875 (Why is no real title available?)
- scientific article; zbMATH DE number 3206641 (Why is no real title available?)
- scientific article; zbMATH DE number 3233279 (Why is no real title available?)
- scientific article; zbMATH DE number 3322562 (Why is no real title available?)
- Applied Probability and Queues
- Approximations for the probability of ruin within finite time
- Asymptotic Analysis of Random Walks
- Asymptotic analysis of random walks. Rapidly decreasing distributions of increments
- Integro-local limit theorems for compound renewal processes under Cramér's condition. I
- Integro-local theorems in boundary crossing problems for compound renewal processes
- Large deviation principles in boundary problems for compound renewal processes
- Limit theorems in the boundary hitting problem for a multidimensional random walk
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- On the Density and Moments of the Time of Ruin with Exponential Claims
- On the exact distributional asymptotics for the supremum of a random walk with increments in a class of light-tailed distribution
- On the limit law of a random walk conditioned to reach a high level
- Probability theory. Edited by K. A. Borovkov. Transl. from the Russian by O. Borovkova and P. S. Ruzankin
- Ruin probabilities expressed in terms of ladder height distributions
- Second Order Approximation for the Distribution of the Maximum of a Random Walk with Negative Drift and Infinite Variance
- Stability theorems and the second-order asymptotics in threshold phenomena for boundary functionals of random walks
- The critical case of the Cramer-Lundberg theorem on the asymptotic tail behavior of the maximum of a negative drift random walk
Cited in
(16)- Boundary functionals for the difference of nonordinary renewal processes with discrete time
- On exact large deviation principles for compound renewal processes
- The two-barrier escape problem for compound renewal processes with two-sided jumps
- Crossing time and renewal numbers of two PH-renewal processes
- Large deviation principles in boundary problems for compound renewal processes
- On the asymptotics of the probability to stay above a non-increasing boundary for a non-homogeneous compound renewal process
- On double-boundary non-crossing probability for a class of compound processes with applications
- On the existence conditions for exact large deviation principles
- Chebyshev-type inequalities and large deviation principles
- The moderate deviations principle for the trajectories of compound renewal processes on the half-line
- Integral theorems for the first passage time of an arbitrary boundary by a compound renewal process
- On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process
- Integro-local theorems in boundary crossing problems for compound renewal processes
- Large deviation principles for the processes admitting embedded compound renewal processes
- Compound renewal processes
- Stopping problems for compound processes with applications to queues
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