Sharp asymptotics for the Laplace transform of the compound renewal process and related problems Full article
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Сибирские электронные математические известия (Siberian Electronic Mathematical Reports)
, E-ISSN: 1813-3304 |
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| Output data | Year: 2020, Volume: 17, Pages: 824-839 Pages count : 16 DOI: 10.33048/semi.2020.17.060 | ||
| Tags | asymptotics of the moments; compound renewal process; distribution of the maximum of process; Laplace transform; sharp asymptotics | ||
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Abstract:
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.
Cite:
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
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
Identifiers:
| Web of science: | WOS:000543740700001 |
| Scopus: | 2-s2.0-85099228386 |
| OpenAlex: | W3115371760 |
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