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This article is cited in 1 scientific paper (total in 1 paper)
Probability theory and mathematical statistics
On the asymptotics of the probability to stay above a non-increasing boundary for a non-homogeneous compound renewal process
A. D. Shelepovaa, A. I. Sakhanenkob a Novosibirsk State University, 1, Pirogova str., Novosibirsk, 630090, Russia
b Sobolev Institute of Mathematics, 4, Acad. Koptyug ave., Novosibirsk, 630090, Russia
Abstract:
We consider a non-homogeneous compound renewal process, which is also known as a cumulative renewal process, or a continuous time random walk. We suppose that the jump sizes have zero means and finite variances, whereas the renewal-times has moments of order greater than 3/2. We investigate the asymptotic behaviour of the probability that this process is staying above a moving non-increasing boundary up to time $T$ which tends to infinity. Our main result is a generalization of a similar one for homogeneous compound renewal process, due to A. Sakhanenko, V. Wachtel, E. Prokopenko, A. Shelepova (2021).
Keywords:
compound renewal process, continuous time random walk, non-homogeneous process, boundary crossing problems, moving boundaries, exit times.
Received October 28, 2021, published December 24, 2021
Citation:
A. D. Shelepova, A. I. Sakhanenko, “On the asymptotics of the probability to stay above a non-increasing boundary for a non-homogeneous compound renewal process”, Sib. Èlektron. Mat. Izv., 18:2 (2021), 1667–1688
Linking options:
https://www.mathnet.ru/eng/semr1468 https://www.mathnet.ru/eng/semr/v18/i2/p1667
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