On a renewal function when the second moment is infinite

M.S. Sgibnev

Statistics & Probability Letters, 2009, vol. 79, issue 9, 1242-1245

Abstract: Let {Sk} be a random walk with independent, identically distributed real-valued increments {Xi}, having a nonarithmetic distribution, finite expectation [mu]>0 and infinite moment Emax(0,X1)2. A refinement of the elementary renewal theorem is given in the following form: where [rho](t) is a specific function such that [rho](t)-->[infinity] as t-->[infinity].

Date: 2009
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