Integro-Local Theorems in Boundary Crossing Problems for Compound Renewal Processes

被引：0

作者：

A. A. Borovkov

机构：

[1] Sobolev Institute of Mathematics,

来源：

Siberian Mathematical Journal | 2019年 / 60卷

关键词：

compound renewal process; large deviation; boundary crossing problems; first passage time of remote boundary; integro-local theorems; conditional distribution of jumps; ruin probability problem;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We find sharp asymptotics for the probability that the moment when the trajectory of a compound renewal process crosses an arbitrary remote boundary lies in a prescribed small time interval. As a key step in our proof, we obtain limit theorems for the conditional distribution of jumps of the process when the endpoint of the trajectory of a compound renewal process is fixed.

引用

页码：957 / 972

页数：15

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