Renewal theory for random variables with a heavy tailed distribution and finite variance

DOI10.1016/J.SPL.2010.09.021zbMATH Open1208.60085OpenAlexW2125352381MaRDI QIDQ618009FDOQ618009

J. L. Geluk, J. B. G. Frenk

Publication date: 14 January 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.09.021

zbMATH Keywords

subexponentialityrenewal functiondominated variationintegrated tail

Mathematics Subject Classification ID

Renewal theory (60K05)

Cites Work

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• On Interchanging Limits and Integrals
• A property of longtailed distributions
• Subexponential distributions and integrated tails
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• A local limit theorem for random walk maxima with heavy tails
• The full solution of the convolution closure problem for convolution- equivalent distributions
• Some closure properties for subexponential distributions
• A refinement of the coupling method in renewal theory
• Compound sums and subexponentiality

Cited In (10)

• A key renewal theorem for heavy tail distributions with \({\beta\in(0,0.5]}\)
• On Asymptotic Expansion for Mathematical Expectation of a Renewal--Reward Process with Dependent Components and Heavy-Tailed Interarrival Times
• On a stochastic process with a heavy-tailed distributed component describing inventory model type of (s, S)
• Moment-based approximations for stochastic control model of type ( s , S )
• Some bounds for the renewal function and the variance of the renewal process
• Renewal shot noise processes in the case of slowly varying tails
• The class of L ∩ D and its application to renewal reward process
• A two-sided bound for the renewal function when the interarrival distribution is IMRL
• Implicit renewal theory and tails of solutions of random equations
• On the non-closure under convolution for strong subexponential distributions

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