The Annals of Probability

A Renewal Theorem in the Infinite Mean Case

Kevin K. Anderson and Krishna B. Athreya

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Abstract

Let $F(\cdot)$ be a c.d.f. on $(0, \infty)$ such that $1 - F(x)$ is regularly varying with exponent $-\alpha, \frac{1}{2} < \alpha \leq 1$. Let $Q(\cdot): \mathscr{R}^+ \rightarrow \mathscr{R}^+$ be nonincreasing and regularly varying with exponent $-\beta, 0 \leq \beta < 1$. Then, as $t \rightarrow \infty, (U \ast Q)(t) \equiv \int_{\lbrack 0,t\rbrack}Q(t - u)U(du)$ is asymptotic to $c(\alpha, \beta)(\int^t_0Q(u) du)(\int^t_0(1 - F(u)) du)^{-1}$, where $U(\cdot)$ is the renewal function associated with $F(\cdot)$ and $c(\alpha, \beta)$ is a suitable constant. This is an improved version of a theorem due to Teugels, whose proof appears to be incomplete. Applications of the result to the second order behavior of $U(t)$ in some special cases are also given.

Article information

Source
Ann. Probab., Volume 15, Number 1 (1987), 388-393.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176992277

Digital Object Identifier
doi:10.1214/aop/1176992277

Mathematical Reviews number (MathSciNet)
MR877611

Zentralblatt MATH identifier
0614.60084

JSTOR
links.jstor.org

Subjects
Primary: 60K05: Renewal theory

Keywords
Renewal function regular variation key renewal theorem second order behavior

Citation

Anderson, Kevin K.; Athreya, Krishna B. A Renewal Theorem in the Infinite Mean Case. Ann. Probab. 15 (1987), no. 1, 388--393. doi:10.1214/aop/1176992277. https://projecteuclid.org/euclid.aop/1176992277


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