English

Asymptotic results for certain first-passage times and areas of renewal processes

Probability 2022-02-23 v3

Abstract

We consider the process {xN(t):t0}\{x-N(t):t\geq 0\}, where xR+x\in\mathbb{R}_+ and {N(t):t0}\{N(t):t\geq 0\} is a renewal process with light-tailed distributed holding times. We are interested in the joint distribution of (τ(x),A(x))(\tau(x),A(x)) where τ(x)\tau(x) is the first-passage time of {xN(t):t0}\{x-N(t):t\geq 0\} to reach zero or a negative value, and A(x):=0τ(x)(xN(t))dtA(x):=\int_0^{\tau(x)}(x-N(t))dt is the corresponding first-passage (positive) area swept out by the process {xN(t):t0}\{x-N(t):t\geq 0\}. We remark that we can define the sequence {(τ(n),A(n)):n1}\{(\tau(n),A(n)):n\geq 1\} by referring to the concept of integrated random walk. Our aim is to prove asymptotic results as xx\to\infty 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}
}

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22 pages