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

DOI10.1016/J.SPL.2010.09.021MaRDI QIDQ618009zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• A renewal theorem in the finite-mean case
• Strong invariance principle for renewal and randomly stopped processes
• Second-Order Renewal Theorem in the Finite-Means Case
• Асимптотика обобщенных функций восстановления при наличии конечной дисперсии
• Moderate deviations for random sums of heavy-tailed random variables

Cites work

• scientific article; zbMATH DE number 4013704 (Why is no real title available?)
• scientific article; zbMATH DE number 3662269 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A local limit theorem for random walk maxima with heavy tails
• A property of longtailed distributions
• A refinement of the coupling method in renewal theory
• Compound sums and subexponentiality
• On Interchanging Limits and Integrals
• Some closure properties for subexponential distributions
• Subexponential distributions and integrated tails
• The full solution of the convolution closure problem for convolution- equivalent distributions

Cited in

(15)

• On the non-closure under convolution for strong subexponential distributions
• A key renewal theorem for heavy tail distributions with \({\beta\in(0,0.5]}\)
• On the stochastic process with light and heavy-tailed general interference of chance
• 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)
• A study of the stochastic process with general interference of chance and general demands
• Асимптотика обобщенных функций восстановления при наличии конечной дисперсии
• 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
• Some results for the delayed renewal function
• Moment-based approximation for a renewal reward process with generalized gamma-distributed interference of chance
• Implicit renewal theory and tails of solutions of random equations

This page was built for publication: Renewal theory for random variables with a heavy tailed distribution and finite variance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q618009)