The left tail of renewal measure

DOI10.1016/J.SPL.2017.06.018zbMATH Open1386.60301arXiv1701.02626OpenAlexW2579330878WikidataQ57735312 ScholiaQ57735312MaRDI QIDQ1687232FDOQ1687232

Bartosz Kołodziejek

Publication date: 22 December 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: In the paper, we find exact asymptotics of the left tail of renewal measure for a broad class of two-sided random walks. We only require that an exponential moment of the left tail is finite. Through a simple change of measure approach, our result turns out to be almost equivalent to Blackwell's Theorem.

Full work available at URL: https://arxiv.org/abs/1701.02626

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zbMATH Keywords

renewal theoryrenewal measure

Mathematics Subject Classification ID

Renewal theory (60K05)

Cites Work

• Title not available (Why is that?)
• Remainder term estimates of the renewal function
• A note on the Kesten-Grincevičius-Goldie theorem
• Asymptotics for sums of random variables with local subexponential behaviour
• Title not available (Why is that?)
• On Moment Generating Functions and Renewal Theory
• Extension of a renewal theorem
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Cited In (4)

• Local large deviations and the strong renewal theorem
• A renewal theorem and supremum of a perturbed random walk
• Title not available (Why is that?)
• Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions

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