Nonexponential asymptotics for the solutions of renewal equations, with applications

DOI10.1239/JAP/1158784948zbMATH Open1125.60090OpenAlexW2035708991MaRDI QIDQ5754690FDOQ5754690

Authors: Junsheng Zhao, Chuancun Yin 

Publication date: 23 August 2007

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1158784948

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zbMATH Keywords

asymptoticsheavy-tailed distributionrenewal functiondefective renewal equationcompound geometric distributionperpetual put optiondeterministic population model

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Renewal theory (60K05)

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Cited In (52)

• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• Asymptotic behavior of solutions to polynomial renewal equations
• The perturbed compound Poisson risk model with two-sided jumps
• A long-time asymptotic solution to the g-renewal equation for underlying distributions with nondecreasing hazard functions
• On the time value of absolute ruin with debit interest
• Exponential approximation to Weibull renewal with decreasing failure rate
• Exponential asymptotics for nonlinearly perturbed renewal equation with non-polynomial perturbations
• Parameter estimation for a class of time‐varying systems with the invariant matrix
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• Auxiliary model based recursive generalized least squares identification algorithm for multivariate output-error autoregressive systems using the decomposition technique
• One dimensional reduction of a renewal equation for a measure-valued function of time describing population dynamics
• Multi-innovation gradient estimation algorithms for multivariate equation-error autoregressive moving average systems based on the filtering technique
• Least squares parameter estimation and multi-innovation least squares methods for linear fitting problems from noisy data
• Nonlinearly perturbed renewal equations: the nonpolynomial case
• Instrumental variable‐based multi‐innovation gradient estimation for nonlinear systems with scarce measurements
• Title not available (Why is that?)
• Parameter estimation methods of linear continuous-time time-delay systems from multi-frequency response data
• Recursive parameter estimation algorithm for multivariate output-error systems
• Adaptive gradient-based iterative algorithm for multivariable controlled autoregressive moving average systems using the data filtering technique
• Subexponential potential asymptotics with applications
• Equivalent conditions of local asymptotics for the solutions of defective renewal equations, with applications
• Hierarchical recursive generalized extended least squares estimation algorithms for a class of nonlinear stochastic systems with colored noise
• On asymptotic equivalence among the solutions of some defective renewal equations
• A class of Sparre Andersen risk process
• Separable synthesis gradient estimation methods and convergence analysis for multivariable systems
• On non-singular Markov renewal processes with an application to a growth–catastrophe model
• Multi-innovation gradient estimation algorithms and convergence analysis for feedback nonlinear equation-error moving average systems
• Auxiliary model‐based recursive least squares algorithm for two‐input single‐output Hammerstein output‐error moving average systems by using the hierarchical identification principle
• Filtered auxiliary model recursive generalized extended parameter estimation methods for Box–Jenkins systems by means of the filtering identification idea
• Multi‐innovation gradient‐based iterative identification methods for feedback nonlinear systems by using the decomposition technique
• The renewal equation with unbounded inhomogeneous term
• Hierarchical multi-innovation stochastic gradient identification algorithm for estimating a bilinear state-space model with moving average noise
• Hierarchical Newton and least squares iterative estimation algorithm for dynamic systems by transfer functions based on the impulse responses
• Maximum likelihood recursive least squares estimation for multivariate equation-error ARMA systems
• A minimal uniform renewal theorem and transition phenomena for a nonhomogeneous perturbation of the renewal equation
• On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
• Asymptotics for the solutions to defective renewal equations
• Exact asymptotic expansions for solutions of multi-dimensional renewal equations
• Highly computationally efficient state filter based on the delta operator
• Model transformation based distributed stochastic gradient algorithm for multivariate output-error systems
• The perturbed compound Poisson risk model with multi-layer dividend strategy
• The renewal equation for the non-homogeneous semi-Markov renewal processes
• The discrete renewal equation with nonsummable inhomogeneous term
• On the use of Lyapunov methods in renewal theory
• State space model identification of multirate processes with time-delay using the expectation maximization
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• On the homogenization of the renewal equation with heterogeneous external constraints
• Two-sided bounds for renewal equations and ruin quantities
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• Asymptotics for solutions of a defective renewal equation with applications
• Implicit renewal theory and tails of solutions of random equations
• On the integrated tail of the deficit in the renewal risk model

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