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Bertoin, Jean; van Harn, K; Steutel, F W (1999). Renewal theory and level passage by subordinators. Statistics and Probability Letters, 45(1):65-69.
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, it is easy to conjecture the limit distributions of the ‘undershoot’ and ‘overshoot’ at the passage of a high level by subordinators. These conjectures are then proved by Lévy-process methods.
| Item Type: | Journal Article, not_refereed, original work |
|---|---|
| Communities & Collections: | 07 Faculty of Science > Institute of Mathematics |
| Dewey Decimal Classification: | 510 Mathematics |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Statistics, Probability and Uncertainty |
| Language: | English |
| Date: | 1999 |
| Deposited On: | 25 Jul 2013 06:43 |
| Last Modified: | 09 Jan 2025 02:42 |
| Publisher: | Elsevier |
| ISSN: | 0167-7152 |
| OA Status: | Closed |
| Publisher DOI: | https://doi.org/10.1016/S0167-7152(99)00043-7 |
| Related URLs: | http://www.ams.org/mathscinet-getitem?mr=1718352 http://www.zentralblatt-math.org/zbmath/search/?q=an%3A0965.60053 |
Bertoin, Jean