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JOURNALS // Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports] // Archive

Sib. Èlektron. Mat. Izv., 2021 Volume 18, Issue 2, Pages 1667–1688 (Mi semr1468)

This article is cited in 1 paper

Probability theory and mathematical statistics

On the asymptotics of the probability to stay above a non-increasing boundary for a non-homogeneous compound renewal process

A. D. Shelepovaa, A. I. Sakhanenkob

a Novosibirsk State University, 1, Pirogova str., Novosibirsk, 630090, Russia
b Sobolev Institute of Mathematics, 4, Acad. Koptyug ave., Novosibirsk, 630090, Russia

Abstract: We consider a non-homogeneous compound renewal process, which is also known as a cumulative renewal process, or a continuous time random walk. We suppose that the jump sizes have zero means and finite variances, whereas the renewal-times has moments of order greater than 3/2. We investigate the asymptotic behaviour of the probability that this process is staying above a moving non-increasing boundary up to time $T$ which tends to infinity. Our main result is a generalization of a similar one for homogeneous compound renewal process, due to A. Sakhanenko, V. Wachtel, E. Prokopenko, A. Shelepova (2021).

Keywords: compound renewal process, continuous time random walk, non-homogeneous process, boundary crossing problems, moving boundaries, exit times.

UDC: 519.21

MSC: 60F17

Received October 28, 2021, published December 24, 2021

DOI: 10.33048/semi.2021.18.127



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