Renewal theory and level passage by subordinators (Q1805960)
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scientific article; zbMATH DE number 1356071
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Renewal theory and level passage by subordinators |
scientific article; zbMATH DE number 1356071 |
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Renewal theory and level passage by subordinators (English)
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16 July 2001
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Renewal processes (nondecreasing partial-sum processes) generated by infinitely divisible life times are used as stepping stones between general nondecreasing partial-sum processes and nondecreasing Lévy processes (subordinators). In this way the limit distributions are conjectured of the `undershoot' and `overshoot' at the passage of a high level by subordinators. These conjectures are then proved by Lévy-process methods.
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infinite divisibility
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renewal theory
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Lévy processes
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