An asymptotic of high order moments of renewal
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Publication:1925168
Let \(0,X_1,X_1+X_2,\dots\) be the epochs of a standard renewal process, and let \(N(t)\) be the number of epochs to time \(t\geq 0\). Using Laplace transform methods, the author gives asymptotic estimates for \(E[N(t)(N(t)+1)\cdots(N(t)+n-1)]\), \(n\geq 1\), under various assumptions on the distribution of \(X_1\). Notably he considers cases in which the integrated tail distribution, \(F_1(t)=(EX_1)^{-1}\int_0^t P(X_1>x)dx\), is subexponential.
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- Second order behaviour of the tail of a subordinated probability distribution
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Cited in
(11)- Invariance principles for renewal processes when only moments of low order exist
- The exponential moment tail of inhomogeneous renewal process
- Nonlinear perturbed renewal equations with application to a random walk
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