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Uniform Renewal Theory with Applications to Expansions of Random Geometric Sums
Renewal theory random geometric sum corrected diffusion approximation
2015/7/6
Consider a sequence X = (Xn: n ≥ 1)of independent and identically distributed random variables, and an independent geometrically distributed random variable M with parameter p. The random variable SM ...
On the existence of moments of stopped sums in Markov renewal theory
Markov random walk stopped sum Harris recurrence regeneration epoch drift condition
2009/9/21
Let (M,),,,be an ergodic Markov chain on a general
state space X with stationary distribution n and g: X + [0, m) a meadef
surable function. D&e So (g) = 0 and S,(g) g (MI+). . .+g(M.)
for n 3 1. ...