Strong limit theorems for increments of renewal processes (Q2567793)

Let \(X_i\), \(i\geq 1\), be i.i.d. nonnegative nondegenerate random variables with \(\text{ess\,inf\,}X_1= 0\), \(0< EX_1=\mu<\infty\). Put \(S_0= 0\), \(S_n= X_1+\cdots+ X_n\), \(N(t)= \max\{n\geq 0: S_n\leq t\}\), \(u_T= \sup\{N(t+ a_T)- N(t): 0\leq t\leq T-a_T\}\), \(W_T= \sup\{N(t+ s)- N(t)- s/\mu: 0\leq s\leq a_T\), \(0\leq t\leq T- a_T\}\), where \(a_T\leq T\) and \(a_T\uparrow\infty\) as \(T\to\infty\). A well-known problem is finding conditions such that \(\limsup(u_T- a_T/\mu)/b_T= 1\), a.s. for a suitable norming function \(b_T\). If \(a_T= O(\log T)\), then \(b_T\) depends essentially on the distribution of \(X_1\). If \(a_T/\log T\to\infty\) and \(EX^2_1<\infty\), then \(b_T\) depends only on \(a_T\) and the first two moments of \(X_1\). The paper derives a general norming function \(b_T\) that applies in both (and other) cases. It is given by \(c_T- a_T/\mu\) and by \(c_T\) for \(u_T/b_T\) . Here \(c_T\) is the unique nondecreasing solution of an equation \(c_T q(c_T)= a_T\) where the function \(q\) is defined in terms of \(\varphi\) with \(\varphi(h)= E\exp(h\mu- hX_1)\), \(h> 0\). Then \(T/c_T\) is nondecreasing for large \(T\) and \(\mu c_T> a_T\). The main theorems show that under moderate conditions \(\limsup W_T/b_T= \limsup(u_T- a_T/\mu)= \limsup u_T/b_T= 1\), a.s. and even lim instead of lim\,sup. The lim\,sups mentioned earlier are derived as corollaries, as also the case \(a_T =o(\log T)\). Other corollaries give the limits when \(EX^2_1= \infty\) and \(\mu- X_1\) is attracted by a stable law of index \(\alpha\) with \(1<\alpha < 2\) or \(\alpha= 2\). The strong law and the loglog law for renewal processes also follow.