On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process

DOI10.33048/SEMI.2021.18.002zbMath1455.60122OpenAlexW3199071530MaRDI QIDQ2227042

Anastasiya D. Shelepova, Vitali Wachtel, Aleksandr Ivanovich Sakhanenko, Evgeniĭ Igor'evich Prokopenko

Publication date: 9 February 2021

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

Full work available at URL: https://doi.org/10.33048/semi.2021.18.002

zbMATH Keywords

continuous time random walkmoving boundariesexit timescompound renewal processboundary crossing problems

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Functional limit theorems; invariance principles (60F17)

Related Items (1)

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

Cites Work

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• Conditional limit theorems for ordered random walks
• First-passage times for random walks with nonidentically distributed increments
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• Boundary crossing problems for compound renewal processes
• Exit times for integrated random walks
• On Borovkov's estimate in the invariance principle
• Random walks in cones
• Prokhorov Distance with Rates of Convergence under Sublinear Expectations
• Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
• On certain limit theorems of the theory of probability

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