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

regular variationrandom walksrenewal theoremasymtotic stability

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 Theorems When the First or the Second Moment is Infinite
• Renewal theorem in the case of an infinite variance
• Teugels' renewal theorem and stable laws

Cited in

(18)

• On the asymptotics of the distribution of excess
• Local behaviour of the remainder in renewal theory
• Limits of renewal processes and Pitman-Yor distribution
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• Strong renewal theorem and local limit theorem in the absence of regular variation
• Renewal function asymptotics refined á la Feller
• Darling-Kac theorem for renewal shifts in the absence of regular variation
• scientific article; zbMATH DE number 2099537 (Why is no real title available?)
• scientific article; zbMATH DE number 4064211 (Why is no real title available?)
• 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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