IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v45y1999i1p65-69.html
   My bibliography  Save this article

Renewal theory and level passage by subordinators

Author

Listed:
  • Bertoin, J.
  • van Harn, K.
  • Steutel, F. W.

Abstract

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.

Suggested Citation

  • Bertoin, J. & van Harn, K. & Steutel, F. W., 1999. "Renewal theory and level passage by subordinators," Statistics & Probability Letters, Elsevier, vol. 45(1), pages 65-69, October.
  • Handle: RePEc:eee:stapro:v:45:y:1999:i:1:p:65-69
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(99)00043-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chi, Zhiyi, 2016. "On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1124-1144.
    2. Ghorbel, M. & Huillet, T., 2005. "Fragment size distributions in random fragmentations with cutoff," Statistics & Probability Letters, Elsevier, vol. 71(1), pages 47-60, January.
    3. Mijatović, Aleksandar & Pistorius, Martijn, 2015. "Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processes," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2937-2954.
    4. Magdziarz, Marcin, 2009. "Stochastic representation of subdiffusion processes with time-dependent drift," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3238-3252, October.
    5. Budd, J.K. & Taylor, P.G., 2019. "Bounds for the solution to the single-period inventory model with compound renewal process input: An application to setting credit card limits," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1012-1018.
    6. Huillet, Thierry & Möhle, Martin, 2013. "On the extended Moran model and its relation to coalescents with multiple collisions," Theoretical Population Biology, Elsevier, vol. 87(C), pages 5-14.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:45:y:1999:i:1:p:65-69. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.