Limit theorems for renewal shot noise processes with eventually decreasing response functions

DOI10.1016/J.SPL.2016.07.019zbMATH Open1350.60091arXiv1208.3964OpenAlexW2304995738MaRDI QIDQ334018FDOQ334018

Authors: Alexander Marynych, Matthias Meiners, Alexander Iksanov 

Publication date: 31 October 2016

Published in: Stochastic Processes and their Applications, Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Let $x{i}_1,x{i}_2,ldots$ be independent copies of a positive random variable $xi$, $S_0=0$, and $S_k=x{i}_1+ldots+x{i}_k$, $kinmathbbN$. Define $N(t)=infkinmathbbN:S_k>t$ for $tgeq0$. The process $(N(t){)}_{tgeq0}$ is the first-passage time process associated with $(S_k{)}_{kgeq0}$. It is known that if the law of $xi$ belongs to the domain of attraction of a stable law or $mathbbP(xi>t)$ varies slowly at $infty$, then $N(t)$, suitably shifted and scaled, converges in distribution as $toinfty$ to a random variable $W$ with a stable law or a Mittag-Leffler law. We investigate whether there is convergence of the power and exponential moments to the corresponding moments of $W$. Further, the analogous problem for first-passage times of subordinators is considered.

Full work available at URL: https://arxiv.org/abs/1208.3964

Recommendations

• Functional limit theorems for renewal shot noise processes with increasing response functions
• Weak convergence of renewal shot noise processes in the case of slowly varying normalization
• Stationary limits of shot noise processes
• A functional limit theorem for general shot noise processes
• Renewal shot noise processes in the case of slowly varying tails

zbMATH Keywords

renewal processweak convergencesubordinatorrenewal shot noise processesexponential momentfinite-dimensional distributionsfractionally integrated inverse stable subordinatormoment convergencepower momentLévy processfractionally integrated stable Lévy motion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52) Renewal theory (60K05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Explosive Poisson shot noise processes with applications to risk reserves
• Title not available (Why is that?)
• Probability. Theory and examples.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Some models for rainfall based on stochastic point processes
• Stochastic-Process Limits
• Title not available (Why is that?)
• Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
• Limit theorems for a \(GI/G/\infty\) queue
• Normal convergence of multidimensional shot noise and rates of this convergence
• Title not available (Why is that?)
• Limit theorems for continuous-time random walks with infinite mean waiting times
• The asymptotic distribution of the length of beta-coalescent trees
• Title not available (Why is that?)
• Functional limit theorems for renewal shot noise processes with increasing response functions
• Limit theorems for renewal shot noise processes with eventually decreasing response functions
• Stopped Random Walks
• Weak convergence of finite-dimensional distributions of the number of empty boxes in the Bernoulli sieve
• Comparing the tail of an infinitely divisible distribution with integrals of its Levy measure
• Limit theorems for path-functionals of regenerative processes
• Teugels' renewal theorem and stable laws
• Regular variation in the mean and stable limits for Poisson shot noise
• Weak convergence of compound stochastic process. I
• The Bernoulli sieve: an overview
• The central limit theorem for the Poisson shot-noise process
• Exponential moments of first passage times and related quantities for Lévy processes
• Fractionally integrated inverse stable subordinators
• Exponential rate of almost-sure convergence of intrinsic martingales in supercritical branching random walks
• Title not available (Why is that?)
• Some exact distributions in traffic noise theory
• On generalized shot noise
• Regenerative compositions in the case of slow variation: a renewal theory approach
• Title not available (Why is that?)
• Delay in claim settlement and ruin probability approximations
• Title not available (Why is that?)
• On the number of empty boxes in the Bernoulli sieve I
• Fluctuation Theory of Recurrent Events
• Exponential moments of first passage times and related quantities for random walks
• The Bernoulli sieve revisited

Cited In (29)

• A functional limit theorem for the profile of random recursive trees
• Stationary limits of shot noise processes
• Weak convergence of renewal shot noise processes in the case of slowly varying normalization
• Limit theorems for renewal shot noise processes with eventually decreasing response functions
• Shot noise processes with randomly delayed cluster arrivals and dependent noises in the large-intensity regime
• On the rates of convergence of first passage times and their associated processes
• A functional limit theorem for random processes with immigration in the case of heavy tails
• Shot Noise Distributions and Selfdecomposability
• A functional limit theorem for general shot noise processes
• Sample path moderate deviations for shot noise processes in the high intensity regime
• The speed of critically biased random walk in a one-dimensional percolation model
• Weak convergence of finite-dimensional distributions of the number of empty boxes in the Bernoulli sieve
• Title not available (Why is that?)
• Title not available (Why is that?)
• Fractionally integrated inverse stable subordinators
• Feynman-Kac formula for tempered fractional general diffusion equations with nonautonomous external potential
• On the ratio of current age to total life for null recurrent renewal processes
• Asymptotic results for certain first-passage times and areas of renewal processes
• Renewal shot noise processes in the case of slowly varying tails
• On the local time of a recurrent random walk on \(\mathbb{Z}^2\)
• Functional limit theorems for renewal shot noise processes with increasing response functions
• Functional limit theorems for a new class of non-stationary shot noise processes
• On decoupled standard random walks
• Shot-noise queueing models
• Functional limit theorems for shot noise processes with weakly dependent noises
• First passage times of subordinators and urns
• Scaling limits for a random boxes model
• Stable fluctuations of iterated perturbed random walks in intermediate generations of a general branching process tree
• Moments of renewal shot-noise processes and their applications

This page was built for publication: Limit theorems for renewal shot noise processes with eventually decreasing response functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q334018)