Integro-Local Theorems in Boundary Crossing Problems for Compound Renewal Processes Full article
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Siberian Mathematical Journal
ISSN: 0037-4466 , E-ISSN: 1573-9260 |
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| Output data | Year: 2019, Volume: 60, Number: 6, Pages: 957-972 Pages count : 16 DOI: 10.1134/S0037446619060041 | ||
| Tags | boundary crossing problems; compound renewal process; conditional distribution of jumps; first passage time of remote boundary; integro-local theorems; large deviation; ruin probability problem | ||
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Abstract:
We find sharp asymptotics for the probability that the moment when the trajectory of a compound renewal process crosses an arbitrary remote boundary lies in a prescribed small time interval. As a key step in our proof, we obtain limit theorems for the conditional distribution of jumps of the process when the endpoint of the trajectory of a compound renewal process is fixed. © 2019, Pleiades Publishing, Ltd.
Cite:
Borovkov A.A.
Integro-Local Theorems in Boundary Crossing Problems for Compound Renewal Processes
Siberian Mathematical Journal. 2019. V.60. N6. P.957-972. DOI: 10.1134/S0037446619060041 WOS Scopus OpenAlex
Integro-Local Theorems in Boundary Crossing Problems for Compound Renewal Processes
Siberian Mathematical Journal. 2019. V.60. N6. P.957-972. DOI: 10.1134/S0037446619060041 WOS Scopus OpenAlex
Identifiers:
| Web of science: | WOS:000514796900004 |
| Scopus: | 2-s2.0-85079698187 |
| OpenAlex: | W3008988810 |