Nonexponential asymptotics for the solutions of renewal equations, with applications

From MaRDI portal
Publication:5754690

DOI10.1239/jap/1158784948zbMath1125.60090OpenAlexW2035708991MaRDI QIDQ5754690

Junsheng Zhao, Chuan-Cun Yin

Publication date: 23 August 2007

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1158784948




Related Items (33)

Subexponential potential asymptotics with applicationsAdaptive gradient-based iterative algorithm for multivariable controlled autoregressive moving average systems using the data filtering techniqueThe perturbed compound Poisson risk model with two-sided jumpsRecursive parameter estimation algorithm for multivariate output-error systemsAsymptotics for the moments of the overshoot and undershoot of a random walkA class of Sparre Andersen risk processOn asymptotic equivalence among the solutions of some defective renewal equationsInstrumental variable‐based multi‐innovation gradient estimation for nonlinear systems with scarce measurementsAuxiliary model‐based recursive least squares algorithm for two‐input single‐output Hammerstein output‐error moving average systems by using the hierarchical identification principleLeast squares parameter estimation and multi-innovation least squares methods for linear fitting problems from noisy dataSeparable synthesis gradient estimation methods and convergence analysis for multivariable systemsModel transformation based distributed stochastic gradient algorithm for multivariate output-error systemsParameter estimation for a class of time‐varying systems with the invariant matrixFiltered auxiliary model recursive generalized extended parameter estimation methods for Box–Jenkins systems by means of the filtering identification ideaMulti‐innovation gradient‐based iterative identification methods for feedback nonlinear systems by using the decomposition techniqueAsymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusionState space model identification of multirate processes with time-delay using the expectation maximizationOn the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interestAsymptotics for the solutions to defective renewal equationsAsymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalenceExponential approximation to Weibull renewal with decreasing failure rateOn the time value of absolute ruin with debit interestEquivalent conditions of local asymptotics for the solutions of defective renewal equations, with applicationsMaximum likelihood recursive least squares estimation for multivariate equation-error ARMA systemsAuxiliary model based recursive generalized least squares identification algorithm for multivariate output-error autoregressive systems using the decomposition techniqueOn the integrated tail of the deficit in the renewal risk modelThe perturbed compound Poisson risk model with multi-layer dividend strategyAsymptotics for solutions of a defective renewal equation with applicationsHighly computationally efficient state filter based on the delta operatorHierarchical multi-innovation stochastic gradient identification algorithm for estimating a bilinear state-space model with moving average noiseHierarchical recursive generalized extended least squares estimation algorithms for a class of nonlinear stochastic systems with colored noiseMulti-innovation gradient estimation algorithms and convergence analysis for feedback nonlinear equation-error moving average systemsHierarchical Newton and least squares iterative estimation algorithm for dynamic systems by transfer functions based on the impulse responses



Cites Work


This page was built for publication: Nonexponential asymptotics for the solutions of renewal equations, with applications