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Principle Seminar of the Department of Probability Theory, Moscow State University
February 29, 2012 16:45, Moscow, MSU, auditorium 16-24
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Conditions for regularity of increases and densities of the renewal function for distributions without first moment
V. A. Topchii Omsk Branch of Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Science
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Abstract:
The asymptotic of renewal functions generated by distribution $F(t)$ with regularly varying tails
$F(-t)+1-F(t)$ of order $\beta\in(0,1]$ without the first moment may be calculated by Karamata's Tauberian theorem.
The asymptotic behavior of increments for such type of renewal function in non-arithmetical case was described by Erickson (1970, 1971). The situation is the following: for $\beta\in(0.5,1]$ the increments are asymptotically equivalent to the increment of argument multiplied by formal derivative of renewal function (without derivative of slowly varying function). For $\beta\in(0,0.5]$ it does not hold true.
V. Vatutin and the author find the condition
$F(-t+\Delta)-F(t+\Delta)-F(-t)+F(t)=O(\Delta)(F(-t)+1-F(t))/t, t\to\infty,$
sufficient for formal differentiation of the renewal function also in the case $\beta\in(0,0.5]$.
For absolutely continuous distributions we find sufficient conditions for the asymptotic behavior of the first and second derivatives of the renewal function to correspond to formal procedures.
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