Email this article Integro-Local Theorems in Boundary Crossing Problems for Compound Renewal Processes
- Authors: Borovkov A.A.1
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Affiliations:
- Sobolev Institute of Mathematics
- Issue: Vol 60, No 6 (2019)
- Pages: 957-972
- Section: Article
- URL: https://journals.rcsi.science/0037-4466/article/view/172711
- DOI: https://doi.org/10.1134/S0037446619060041
- ID: 172711
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Abstract
We find sharp asymptotics for the probability that the moment when the trajectory of a compound renewal process crosses an arbitrary remote boundary lies in a prescribed small time interval. As a key step in our proof, we obtain limit theorems for the conditional distribution of jumps of the process when the endpoint of the trajectory of a compound renewal process is fixed.
About the authors
A. A. Borovkov
Sobolev Institute of Mathematics
Author for correspondence.
Email: borovkov@math.nsc.ru
Russian Federation, Novosibirsk
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