Renewal theory and level passage by subordinators

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.

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Year of publication:	1999
Authors:	Bertoin, J. ; van Harn, K. ; Steutel, F. W.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 45.1999, 1, p. 65-69
Publisher:	Elsevier
Keywords:	Renewal theory Infinite divisibility Lévy processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223614