Boundary crossing problems for compound renewal processes

DOI10.1134/S0037446620010036zbMath1448.60176OpenAlexW3007853665MaRDI QIDQ2191337

Aleksandr A. Borovkov

Publication date: 24 June 2020

Published in: Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0037446620010036

zbMATH Keywords

large deviationcompound renewal processboundary crossing problemsruin probability problem

Mathematics Subject Classification ID

Large deviations (60F10) Renewal theory (60K05)

Related Items (8)

Chebyshev-Type Inequalities and Large Deviation Principles ⋮ On the asymptotics of the probability to stay above a non-increasing boundary for a non-homogeneous compound renewal process ⋮ The two-barrier escape problem for compound renewal processes with two-sided jumps ⋮ On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process ⋮ The moderate deviations principle for the trajectories of compound renewal processes on the half-line ⋮ On the existence conditions for exact large deviation principles ⋮ Large deviation principles for the processes admitting embedded compound renewal processes ⋮ On Exact Large Deviation Principles for Compound Renewal Processes

Cites Work

• Large deviation principles in boundary problems for compound renewal processes
• On the limit law of a random walk conditioned to reach a high level
• Integro-local limit theorems for compound renewal processes under Cramér's condition. I
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• Probability theory. Edited by K. A. Borovkov. Transl. from the Russian by O. Borovkova and P. S. Ruzankin
• Integro-local theorems in boundary crossing problems for compound renewal processes
• Stability theorems and the second-order asymptotics in threshold phenomena for boundary functionals of random walks
• Asymptotic Analysis of Random Walks
• Approximations for the probability of ruin within finite time
• Ruin probabilities expressed in terms of ladder height distributions
• On the Density and Moments of the Time of Ruin with Exponential Claims
• Applied Probability and Queues
• Second Order Approximation for the Distribution of the Maximum of a Random Walk with Negative Drift and Infinite Variance
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