Sharp asymptotics for the Laplace transform of the compound renewal process and related problems | Sciact - Система учета научной деятельности ИМ СО РАН

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

Журнал

Сибирские электронные математические известия (Siberian Electronic Mathematical Reports)
, E-ISSN: 1813-3304

Вых. Данные

Год: 2020, Том: 17, Страницы: 824-839 Страниц : 16 DOI: 10.33048/semi.2020.17.060

Ключевые слова

asymptotics of the moments; compound renewal process; distribution of the maximum of process; Laplace transform; sharp asymptotics

Авторы

Borovkov A.A. ¹

Организации

1	Sobolev Institute of Mathematics, 4, Koptyuga ave., Novosibirsk, 630090, Russian Federation

Sharp asymptotics for the Laplace transform of the compound renewal process (CRP) are found under the Cramer moment condition on the jumps of the process. This result allowed us to obtain asymptotic inequalities for the distribution of the maximum value of the CRP on increasing time intervals and also to find the asymptotic behavior of all the moments of the CRP. The asimptotics of the two first moments of CRP are found under conditions close to minimal ones. © 2020. All rights reserved.

Borovkov A.A.
Sharp asymptotics for the Laplace transform of the compound renewal process and related problems
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports). 2020. Т.17. С.824-839. DOI: 10.33048/semi.2020.17.060 WOS Scopus OpenAlex

Web of science:	WOS:000543740700001
Scopus:	2-s2.0-85099228386
OpenAlex:	W3115371760

Пока нет цитирований