Local asymptotics for the first intersection of two independent renewals

Publication date 20 December 2016

Abstract: We study the intersection of two independent renewal processes,

h o = a u c a p s i g m a

. Assuming that

m a t h b f P (a u_{1} = n) = v a r p h i (n), n^{- (1 + a l p h a)}

and

m a t h b f P (s i g m a_{1} = n) = i l d e v a r p h i (n), n^{- (1 + i l d e a l p h a)}

for some

a l p h a, i l d e a l p h a g e q 0

and some slowly varying

v a r p h i, i l d e v a r p h i

, we give the asymptotic behavior first of

m a t h b f P (h o_{1} > n)

(which is straightforward except in the case of

m i n (a l p h a, i l d e a l p h a) = 1

) and then of

m a t h b f P (h o_{1} = n)

. The result may be viewed as a kind of reverse renewal theorem, as we determine probabilities

m a t h b f P (h o_{1} = n)

while knowing asymptotically the renewal mass function

m a t h b f P (n i n h o) = m a t h b f P (n i n a u) m a t h b f P (n i n s i g m a)

. Our results can be used to bound coupling-related quantities, specifically the increments

| m a t h b f P (n i n a u) - m a t h b f P (n - 1 i n a u) |

of the renewal mass function.

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