A renewal theorem and supremum of a perturbed random walk

Electronic Communications in Probability

Ewa Damek¹ 

关键词: perturbed random walk;    regular variation;    renewal theory;   

DOI  :  10.1214/18-ECP184

学科分类：统计和概率

来源: Institute of Mathematical Statistics

【 摘 要 】

We study tails of the supremum of a perturbed random walk under regime which was not yet considered in the literature. Our approach is based on a new renewal theorem, which is of independent interest. We obtain first and second order asymptotics of the solution to renewal equation under weak assumptions and we apply these results to obtain first and second order asymptotics of the tail of the supremum of a perturbed random walk.

【 授权许可】

CC BY