Strong renewal theorems with infinite mean

Author:

Erickson K. Bruce

Abstract

Let F be a nonarithmetic probability distribution on ( 0 , ) (0,\infty ) and suppose 1 F ( t ) 1 - F(t) is regularly varying at \infty with exponent α , 0 > α 1 \alpha ,0 > \alpha \leqq 1 . Let U ( t ) = Σ F n ( t ) U(t) = \Sigma {F^{{n^ \ast }}}(t) be the renewal function. In this paper we first derive various asymptotic expressions for the quantity U ( t + h ) U ( t ) U(t + h) - U(t) as t , h > 0 t \to \infty ,h > 0 fixed. Next we derive asymptotic relations for the convolution U z ( t ) , t {U^ \ast }z(t),t \to \infty , for a large class of integrable functions z. All of these asymptotic relations are expressed in terms of the truncated mean function m ( t ) = 0 t [ 1 F ( x ) ] d x m(t) = \smallint _0^t[1 - F(x)]dx , t large, and appear as the natural extension of the classical strong renewal theorem for distributions with finite mean. Finally in the last sections of the paper we apply the special case α = 1 \alpha = 1 to derive some limit theorems for the distributions of certain waiting times associated with a renewal process.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

Reference11 articles.

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2. A renewal theorem;Feller, William;J. Math. Mech.,1961

3. A discrete renewal theorem with infinite mean;Garsia, Adriano;Comment. Math. Helv.,1962

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