The left tail of renewal measure

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

Authors Bartosz Kołodziejek

Publication date 22 December 2017

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

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

zbMATH Keywords

renewal theoryrenewal measure

Mathematics Subject Classification ID

Renewal theory (60K05)

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.

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• Local subexponentiality of infinitely divisibile distributions
• On Moment Generating Functions and Renewal Theory
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