Asymptotic expansions for the variance of stopping times in nonlinear renewal theory

DOI10.1016/0304-4149(86)90038-4zbMath0608.60049OpenAlexW2044545872WikidataQ127884001 ScholiaQ127884001MaRDI QIDQ1085884

Gerold Alsmeyer, Albrecht Irle

Publication date: 1986

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(86)90038-4

zbMATH Keywords

first passage timesrenewal theoryasymptotic expansions

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Renewal theory (60K05) (L^p)-limit theorems (60F25)

Related Items (4)

First passage times for perturbed random walks ⋮ Nonlinear renewal theory under growth conditions ⋮ The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk ⋮ A martingale approach for detecting the drift of a Wiener process

Cites Work

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• Non–linear renewal theory for lattice random walks
• Repeated likelihood ratio tests
• A nonlinear renewal theorem for discrete random variables
• Repeated Significance Tests for a Normal Mean
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