Renewal theory and level passage by subordinators
type: Item
instance of: scholarly article
title: Renewal theory and level passage by subordinators
zbMATH Open document ID: 0965.60053
DOI: 10.1016/S0167-7152(99)00043-7
author: K. van Harn
author: Fred W. Steutel
author: Jean Bertoin
published in: Statistics \& Probability Letters
publication date: 2001-07-16T00:00:00Z
review text: Renewal processes (nondecreasing partial-sum processes) generated by infinitely divisible life times are used as stepping stones between general nondecreasing partial-sum processes and nondecreasing Lévy processes (subordinators). In this way the limit distributions are conjectured of the `undershoot' and `overshoot' at the passage of a high level by subordinators. These conjectures are then proved by Lévy-process methods.
reviewed by: Fred W. Steutel
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60K05
Mathematics Subject Classification ID: 60E07
zbMATH DE Number: 1356071
zbMATH Keywords: infinite divisibility
zbMATH Keywords: renewal theory
zbMATH Keywords: Lévy processes
MaRDI profile type: Publication
cites work: Q4888858
cites work: Q5624436
cites work: Infinite divisibility and the waiting-time paradox
cites work: Joint simulation of backward and forward recurrence times in a renewal process
full work available at URL: s0167-7152(99)00043-7
OpenAlex ID: W2122173691
description: scientific article; zbMATH DE number 1356071