Аннотация:
We consider a compound renewal process, which is also known as a cumulative renewal process, or a continuous time random walk. We suppose that the jump size has zero mean and finite variance, whereas the renewal-time has a moment 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 ordinary random walks obtained earlier by Denisov D., Sakhanenko A. and Wachtel V. in Ann. Probab., 2018.
Ключевые слова:compound renewal process, continuous time random walk, boundary crossing problems, moving boundaries, exit times.