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

DOI10.33048/SEMI.2021.18.127zbMath1491.60050OpenAlexW4206560814MaRDI QIDQ2145062

Anastasiya D. Shelepova, Aleksandr Ivanovich Sakhanenko

Publication date: 17 June 2022

Published in: Sibirskie Èlektronnye Matematicheskie Izvestiya (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.33048/semi.2021.18.127

zbMATH Keywords

continuous time random walkmoving boundariesexit timescompound renewal processboundary crossing problemsnon-homogeneous process

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)

Cites Work

• Unnamed Item
• First-passage times for random walks with nonidentically distributed increments
• Spitzer's condition and ladder variables in random walks
• Boundary crossing problems for compound renewal processes
• On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process
• On Borovkov's estimate in the invariance principle

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