Asymptotic results for certain first-passage times and areas of renewal processes
Probability
2022-02-23 v3
Abstract
We consider the process , where and is a renewal process with light-tailed distributed holding times. We are interested in the joint distribution of where is the first-passage time of to reach zero or a negative value, and is the corresponding first-passage (positive) area swept out by the process . We remark that we can define the sequence by referring to the concept of integrated random walk. Our aim is to prove asymptotic results as in the fashion of large (and moderate) deviations.
Keywords
Cite
@article{arxiv.2105.07978,
title = {Asymptotic results for certain first-passage times and areas of renewal processes},
author = {Claudio Macci and Barbara Pacchiarotti},
journal= {arXiv preprint arXiv:2105.07978},
year = {2022}
}
Comments
22 pages