The left tail of renewal measure

Bartosz Kołodziejek

Statistics & Probability Letters, 2017, vol. 129, issue C, 306-310

Abstract: In the paper, we find exact asymptotics of the left tail of renewal measure for a broad class of two-sided random walks. We only require that an exponential moment of the left tail is finite. Through a simple change of measure approach, our result turns out to be almost equivalent to Blackwell’s Theorem.

Keywords: Renewal theory; Renewal measure (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.06.018

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