Uniform renewal theory with applications to expansions of random geometric sums

Abstract

Consider a sequenceX= (Xn:n≥ 1) of independent and identically distributed random variables, and an independent geometrically distributed random variableMwith parameterp. The random variableSM=X1+ ∙ ∙ ∙ +XMis called a geometric sum. In this paper we obtain asymptotic expansions for the distribution ofSMasp↘ 0. If EX1> 0, the asymptotic expansion is developed in powers ofpand it provides higher-order correction terms to Renyi's theorem, which states that P(pSM>x) ≈ exp(-x/EX1). Conversely, if EX1= 0 then the expansion is given in powers of √p. We apply the results to obtain corrected diffusion approximations for the M/G/1 queue. These expansions follow in a unified way as a consequence of new uniform renewal theory results that are also developed in this paper.