TY - BOOK
T1 - Moment convergence in renewal theory
AU - Iksanov, A.
AU - Marynych, A.
AU - Meiners, M.
PY - 2012
Y1 - 2012
N2 - Let ¿1, ¿2, . . . be independent copies of a positive random variable ¿, and let Sk := ¿ 1 + . . . + ¿ k, k ¿ N0. Define N(t) := #{k ¿ N0 : Sk= t}. (N(t))t=0 is a renewal counting process. It is known that if ¿ is in the
domain of attraction of a stable law of index a ¿ (1, 2], then N(t), suitably shifted and scaled, converges in distribution as t ¿ 8 to a random variable with a stable law. We show that in this situation, also the first absolute moments converge to the first absolute moment of the limiting random variable. Further, the corresponding result for subordinators is established.
AB - Let ¿1, ¿2, . . . be independent copies of a positive random variable ¿, and let Sk := ¿ 1 + . . . + ¿ k, k ¿ N0. Define N(t) := #{k ¿ N0 : Sk= t}. (N(t))t=0 is a renewal counting process. It is known that if ¿ is in the
domain of attraction of a stable law of index a ¿ (1, 2], then N(t), suitably shifted and scaled, converges in distribution as t ¿ 8 to a random variable with a stable law. We show that in this situation, also the first absolute moments converge to the first absolute moment of the limiting random variable. Further, the corresponding result for subordinators is established.
M3 - Report
T3 - arXiv.org
BT - Moment convergence in renewal theory
PB - s.n.
ER -