A renewal shot noise process with subexponential shot marks

Yiqing Chen

We investigate a shot noise process with subexponential shot marks occurring at renewal epochs. Our main result is a precise asymptotic formula for its tail probability. In doing so, some recent results regarding sums of randomly weighted subexponential random variables play a crucial role.

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Year of publication:	2019
Authors:	Chen, Yiqing
Subject:	shot noise \| subexponentiality \| tail probability \| randomly weighted sum \| renewal process \| Wahrscheinlichkeitsrechnung \| Probability theory \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks7020063 [DOI] hdl:10419/257901 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012018965