English

Integral criteria for Strong Renewal Theorems with infinite mean

Probability 2014-04-16 v3

Abstract

Let FF be a probability measure on R\mathbb{R} in the domain of attraction of a stable law with exponent α(0,1)\alpha\in (0, 1). We establish integral criteria on FF that significantly expand the probabilistic approach to Strong Renewal Theorems (SRTs). The criterion for α(0,1/2]\alpha \in (0,1/2] is much weaker than currently available ones and in some cases provides sufficient and necessary conditions for the SRT. The criterion for α(1/2,1)\alpha \in (1/2, 1) establishes the SRT in full generality and in a unified way, barring the Limit Local Theorems employed. As an application, for infinitely divisible FF, an integral criterion on its L\'evy measure is established for the SRT. As another application, for FF in the domain of attraction of a stable law without centering, an integral criterion on FF is established for the SRT for the ladder height process of a random walk with step distribution FF.

Keywords

Cite

@article{arxiv.1312.6089,
  title  = {Integral criteria for Strong Renewal Theorems with infinite mean},
  author = {Zhiyi Chi},
  journal= {arXiv preprint arXiv:1312.6089},
  year   = {2014}
}