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Teoriya Veroyatnostei i ee Primeneniya, 1976, Volume 21, Issue 4, Pages 689–706
(Mi tvp3416)
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This article is cited in 16 scientific papers (total in 16 papers)
Asymptotics of renewal functions
B. A. Rogozin Novosibirsk
Abstract:
Let $\xi_1,\dots$ be a sequence of independent identically distributed non-negative random variables. If the distribution function of $\xi_1$ has an absolutely continuous component, $\mathbf M\xi_1^{\alpha}<\infty$, $\alpha\ge 1$, then
$$
\biggl|H-\frac{1}{a}L-\frac{1}{a}F_2\biggr|([t,t+y))=
\begin{cases}
o(t^{-2(\alpha-1)}), &1\le\alpha<2,
\\
o(t^{-\alpha}), &2\le\alpha,
\end{cases}
$$
as $t\to\infty$ for $y>0$. Here: for a Borel set $A$,
$$
H(A)+\sum_{n=0}^{\infty}\mathbf P(S_n\in A),\qquad S_n=\sum_{k=1}^n\xi_k,\qquad S_0=0;
$$
$L$ is the Lebesgue measure; $a=\mathbf M\xi_1$;
$$
F_2(A)=\int_A\biggl(\int_x^{\infty}\mathbf P(\xi_1>u)\,du\biggr)\,dx;
$$
$|\mu|(A)$ stands for the total variation of a measure $\mu$ on a set $A$.
Received: 04.07.1975
Citation:
B. A. Rogozin, “Asymptotics of renewal functions”, Teor. Veroyatnost. i Primenen., 21:4 (1976), 689–706; Theory Probab. Appl., 21:3 (1977), 669–686
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