Renewal theory and level passage by subordinators

J. Bertoin, K. van Harn and F. W. Steutel

Statistics & Probability Letters, 1999, vol. 45, issue 1, 65-69

Abstract: Renewal processes (nondecreasing partial-sum processes) generated by infinitely divisible life times are used as stepping stones between general nondecreasing partial-sum processes and nondecreasing Lévy processes (subordinators). In this way, it is easy to conjecture the limit distributions of the 'undershoot' and 'overshoot' at the passage of a high level by subordinators. These conjectures are then proved by Lévy-process methods.

Keywords: Renewal; theory; Infinite; divisibility; Lévy; processes (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (6)

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