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Fundamentalnaya i Prikladnaya Matematika, 2002, Volume 8, Issue 3, Pages 911–920
(Mi fpm682)
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Exact asymptotic behaviour of the renewal measure in the “critical” case
M. S. Sgibnev Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
Abstract:
Let $\{S_{k}\}$ be a random walk drifting to $-\infty$. The exact asymptotic behaviour of $\sum\limits_{k=1}^{\infty}\mathsf P(S_{k}\geq x)$ is considered under the following moment conditions: for some $\gamma>0$, $\mathsf Ee^{\gamma S_{1}}=1$, $\mathsf E|S_{1}|e^{\gamma S_{1}}<\infty$ and, in general, $\mathsf ES_{1}^{2}e^{\gamma S_{1}}=\infty$.
Received: 01.05.2000
Citation:
M. S. Sgibnev, “Exact asymptotic behaviour of the renewal measure in the “critical” case”, Fundam. Prikl. Mat., 8:3 (2002), 911–920
Linking options:
https://www.mathnet.ru/eng/fpm682 https://www.mathnet.ru/eng/fpm/v8/i3/p911
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