The remainder in the renewal theorem

DOI10.1214/20-ECP287MaRDI QIDQ2183143zbMATH OpenFDO

Authors Ronald A. Doney

Publication date 26 May 2020

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1909.11458, https://projecteuclid.org/euclid.ecp/1580180423

zbMATH Keywords

asymtotic stabilityrandom walksregular variationrenewal theorem

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

Abstract: If the step distribution in a renewal process has finite mean and regularly varying tail with index -{alpha}, 1<{alpha}<2, the first two terms in the asymptotic expansion of the renewal function have been known for many years. Here we show that, without making any additional assumptions, it is possible to give, in all cases except for {alpha}=3/2 , the exact asymptotic behaviour of the next term. In the case {alpha}=3/2 the result is exact to within a slowly varying correction. Similar results are shown to hold in the random walk case.

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Cites work

• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• On a renewal function when the second moment is infinite
• Renewal theorem in the case of an infinite variance
• Renewal Theorems When the First or the Second Moment is Infinite
• Teugels' renewal theorem and stable laws

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(20)

• Asymptotic expansions for renewal measures in the plane
• The left tail of renewal measure
• A lifetime of excursions through random walks and Lévy processes
• Erratum to: ``The remainder in the renewal theorem
• Strong renewal theorem and local limit theorem in the absence of regular variation
• Darling-Kac theorem for renewal shifts in the absence of regular variation
• Tail calculus with remainder, applications to tail expansions for infinite order moving averages, randomly stopped sums, and related topics
• Limits of renewal processes and Pitman-Yor distribution
• On the asymptotics of the distribution of excess
• The renewal theorem in the absence of power moments
• Asymptotics of renewal processes: Some recent developments
• The Influence of the Initial Distribution on a Random Walk
• scientific article; zbMATH DE number 4064211 (Why is no real title available?)
• A renewal theorem in the finite-mean case
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• Renewal function asymptotics refined á la Feller
• scientific article; zbMATH DE number 2099537 (Why is no real title available?)
• The asymptotic behaviour of derivatives of the renewal function for distributions with infinite first moment and regularly varying tails of index \(\beta\in (1/2, 1]\)
• Local behaviour of the remainder in renewal theory
• Higher order approximations in arcsine laws for subordinators

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