On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process

DOI10.33048/SEMI.2021.18.002MaRDI QIDQ2227042zbMATH OpenOpenAlexFDO

Authors Vitali Wachtel, Anastasiya D. Shelepova, A. I. Sakhanenko, Evgeniĭ Igor'evich Prokopenko

Publication date 9 February 2021

Published in Sibirskie Elektronnye Matematicheskie Izvestiya (Search for Journal in Brave)

Full work available at URL https://doi.org/10.33048/semi.2021.18.002

zbMATH Keywords

continuous time random walkcompound renewal processmoving boundariesexit timesboundary crossing problems

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Markov renewal processes, semi-Markov processes (60K15)

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Cites work

• scientific article; zbMATH DE number 5228082 (Why is no real title available?)
• Boundary crossing problems for compound renewal processes
• Conditional limit theorems for ordered random walks
• Exit times for integrated random walks
• First-passage times for random walks with nonidentically distributed increments
• Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
• On Borovkov's estimate in the invariance principle
• On certain limit theorems of the theory of probability
• Prokhorov Distance with Rates of Convergence under Sublinear Expectations
• Random walks in cones
• Spitzer's condition and ladder variables in random walks

Cited in

(7)

• scientific article; zbMATH DE number 5220368 (Why is no real title available?)
• Asymptotic representations for characteristics of exit from an interval for stochastic processes with independent increments
• Limit theorems for continuous-time random walks in the double-array limit scheme
• On the asymptotics of the probability to stay above a non-increasing boundary for a non-homogeneous compound renewal process
• Boundary crossing problems for compound renewal processes
• Integral theorems for the first passage time of an arbitrary boundary by a compound renewal process
• Integro-local theorems in boundary crossing problems for compound renewal processes

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