The Annals of Probability

Extended Renewal Theory and Moment Convergence in Anscombe's Theorem

Y. S. Chow, Chao A. Hsiung, and T. L. Lai

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Abstract

In this paper, an $L_p$ analogue of Anscombe's theorem is shown to hold and is then applied to obtain the variance and other central moments of the first passage time $T_c = \inf\{n \geqslant 1 : S_n > cn^\alpha\}$, where $0 \leqslant \alpha < 1, S_n = X_1 + \cdots + X_n$ and $X_1, X_2, \cdots$ are i.i.d. random variables with $EX_1 > 0$. The variance of $T_c$ in the special case $\alpha = 0$ has been studied by various authors in classical renewal theory, and our approach in this paper provides a simple treatment and a natural extension (to the case of a general $\alpha$) of this classical result. The related problem concerning the asymptotic behavior of $\max_{j\leqslant n}j^{-\alpha}S_j$ is also studied, and in this connection, certain maximal inequalities are obtained and they are applied to prove the corresponding moment convergence results of the theorems of Erdos and Kac, and of Teicher.

Article information

Source
Ann. Probab. Volume 7, Number 2 (1979), 304-318.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176995090

Digital Object Identifier
doi:10.1214/aop/1176995090

Mathematical Reviews number (MathSciNet)
MR525056

Zentralblatt MATH identifier
0405.60020

JSTOR
links.jstor.org

Subjects
Primary: 60F05: Central limit and other weak theorems
Secondary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] 60G50: Sums of independent random variables; random walks 60K05: Renewal theory

Keywords
Extended renewal theory variance of stopping times Anscombe's theorem moment convergence uniform integrability maximal inequalities

Citation

Chow, Y. S.; Hsiung, Chao A.; Lai, T. L. Extended Renewal Theory and Moment Convergence in Anscombe's Theorem. Ann. Probab. 7 (1979), no. 2, 304--318. doi:10.1214/aop/1176995090. https://projecteuclid.org/euclid.aop/1176995090


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