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Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports], 2021, Volume 18, Issue 2, Pages 1667–1688
DOI: https://doi.org/10.33048/semi.2021.18.127
(Mi semr1468)
 

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
Full-text PDF (436 kB) Citations (1)
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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.
Funding agency Grant number
Russian Foundation for Basic Research 20-51-12007
Siberian Branch of Russian Academy of Sciences I.1.3., проект № 0314-2019-0008
Received October 28, 2021, published December 24, 2021
Bibliographic databases:
Document Type: Article
UDC: 519.21
MSC: 60F17
Language: Russian
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
Citation in format AMSBIB
\Bibitem{SheSak21}
\by A.~D.~Shelepova, A.~I.~Sakhanenko
\paper On the asymptotics of the probability to stay above a non-increasing boundary for a non-homogeneous compound renewal process
\jour Sib. \`Elektron. Mat. Izv.
\yr 2021
\vol 18
\issue 2
\pages 1667--1688
\mathnet{http://mi.mathnet.ru/semr1468}
\crossref{https://doi.org/10.33048/semi.2021.18.127}
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  • This publication is cited in the following 1 articles:
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