The remainder in the renewal theorem

DOI10.1214/20-ECP287zbMATH Open1434.60251arXiv1909.11458MaRDI QIDQ2183143FDOQ2183143

Authors: Ronald A. Doney 

Publication date: 26 May 2020

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

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.

Full work available at URL: https://arxiv.org/abs/1909.11458

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zbMATH Keywords

regular variationrandom walksrenewal theoremasymtotic stability

Mathematics Subject Classification ID

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

Cites Work

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• Teugels' renewal theorem and stable laws
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Cited In (18)

• On the asymptotics of the distribution of excess
• Local behaviour of the remainder in renewal theory
• Title not available (Why is that?)
• Limits of renewal processes and Pitman-Yor distribution
• Renewal function asymptotics refined á la Feller
• 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
• Title not available (Why is that?)
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• The renewal theorem in the absence of power moments
• Erratum to: ``The remainder in the renewal theorem
• The Influence of the Initial Distribution on a Random Walk
• A lifetime of excursions through random walks and Lévy processes
• Asymptotic expansions for renewal measures in the plane
• Tail calculus with remainder, applications to tail expansions for infinite order moving averages, randomly stopped sums, and related topics
• The left tail of renewal measure
• The asymptotic behaviour of derivatives of the renewal function for distributions with infinite first moment and regularly varying tails of index \(\beta\in (1/2, 1]\)
• Asymptotics of renewal processes: Some recent developments

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