A renewal theorem and supremum of a perturbed random walk
Probability
2018-12-12 v1
Abstract
We study tails of the supremum of a perturbed random walk under regime which was not yet considered in the literature. Our approach is based on a new renewal theorem, which is of independent interest. We obtain first and second order asymptotics of the solution to renewal equation under weak assumptions and we apply these results to obtain first and second order asymptotics of the tail of the supremum of a perturbed random walk.
Keywords
Cite
@article{arxiv.1812.04496,
title = {A renewal theorem and supremum of a perturbed random walk},
author = {Ewa Damek and Bartosz Kołodziejek},
journal= {arXiv preprint arXiv:1812.04496},
year = {2018}
}
Comments
12 pages. arXiv admin note: substantial text overlap with arXiv:1701.02625