ON ASYMPTOTIC EXPANSION FOR MATHEMATICAL EXPECTATION OF A RENEWAL-REWARD PROCESS WITH DEPENDENT COMPONENTS AND HEAVY-TAILED INTERARRIVAL TIMES

被引：1

作者：

Aliyev, R. ^{[1
]}

Bayramov, V. ^{[2
]}

机构：

[1] Baku State Univ, Dept Operat Res & Probabil Theory, Baku, Azerbaijan

[2] Azerbaijan Natl Acad Sci, Inst Control Syst, Baku, Azerbaijan

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2023年 / 67卷 / 04期

关键词：

renewal process; renewal function; renewal-reward process; heavy-tailed distribution; subexponential distribution; ERGODIC DISTRIBUTION; COVARIANCE; BEHAVIOR;

D O I：

10.1137/S0040585X97T991209

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A renewal-reward process with dependent components and heavy-tailed interarrival times is investigated, and an asymptotic expansion as t -> infinity for the expectation is derived.

引用

页码：645 / 651

页数：7

共 11 条

[1] ON ASYMPTOTIC EXPANSION FOR MATHEMATICAL EXPECTATION OF A RENEWAL-REWARD PROCESS WITH DEPENDENT COMPONENTS AND HEAVY-TAILED INTERARRIVAL TIMES
Aliyev, R.
Bayramov, V.
[J]. THEORY OF PROBABILITY AND ITS APPLICATIONS, 2022, 67 (04) : 645 - 651
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[5] Asymptotic Expansions for the Stationary Moments of a Modified Renewal-Reward Process with Dependent Components
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[J]. BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS, 2020, 34 (04) : 858 - 867
[8] Slow, fast and arbitrary growth conditions for renewal-reward processes when both the renewals and the rewards are heavy-tailed
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[J]. BERNOULLI, 2004, 10 (01) : 121 - 163
[9] The limit of a renewal reward process with heavy-tailed rewards is not a linear fractional stable motion
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[J]. BERNOULLI, 2000, 6 (04) : 607 - 614
[10] Asymptotic Ruin Probabilities of the Renewal Model with Constant Interest Force and Dependent Heavy-tailed Claims
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[J]. Acta Mathematicae Applicatae Sinica, 2011, 27 (02) : 329 - 338

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