Sharp asymptotics for the Laplace transform of the compound renewal process and related problems

DOI10.33048/SEMI.2020.17.060MaRDI QIDQ779139zbMATH OpenOpenAlexFDO

Authors A. A. Borovkov

Publication date 21 July 2020

Published in Sibirskie Elektronnye Matematicheskie Izvestiya (Search for Journal in Brave)

Full work available at URL https://doi.org/10.33048/semi.2020.17.060

zbMATH Keywords

asymptotics of momentscompound renewal processdistribution of maximum of processLaplace transformsharp asymptotics

Mathematics Subject Classification ID

Large deviations (60F10) Renewal theory (60K05)

Recommendations

• Properties of the deviation rate function and the asymptotics for the Laplace transform of the distribution of a compound renewal process
• Local theorems for arithmetic compound renewal processes when Cramer's condition holds
• Compound renewal processes
• Integro-local limit theorems for compound renewal processes under Cramér's condition. I
• Local theorems for arithmetic multidimensional compound renewal processes under Cramér's condition

Cites work

• Asymptotic analysis of random walks. Rapidly decreasing distributions of increments
• Integro-local limit theorems for compound renewal processes
• Integro-local limit theorems for compound renewal processes under Cramér's condition. II
• Large deviation principles for the finite-dimensional distributions of compound renewal processes

Cited in

(1)

• Properties of the deviation rate function and the asymptotics for the Laplace transform of the distribution of a compound renewal process

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