Improved Erdos-Renyi and Strong Approximation Laws for Increments of Renewal Processes
Steinebach, J.
Ann. Probab., Tome 14 (1986) no. 4, p. 547-559 / Harvested from Project Euclid
Let $X_1, X_2,\cdots$ be an i.i.d. sequence with $EX_1 = \mu > 0, \operatorname{var}(X_1) = \sigma^2 > 0, E \exp(sX_1) < \infty, |s| < s_1$, and partial sums $S_0 = 0, S_n = X_1 + \cdots + X_n$. For $t \geq 0$, put $N(t) = \max \{n \geq 0: S_0,\ldots, S_n \leq t\}$, i.e., $L(t) = N(t) + 1$ denotes the first-passage time of the random walk $\{S_n\}$. Starting from some analogous results for the partial sum sequence, this paper studies the almost sure limiting behaviour of $\sup_{0 \leq t \leq T - K_T} (N(t + K_T) - N(t))$ as $T \rightarrow \infty$, under various conditions on the real function $K_T$. Improvements of the Erdos-Renyi strong law for renewal processes (resp. first-passage times) are obtained as well as strong invariance principle type versions. An indefinite range between strong invariance and strong noninvariance is also treated.
Publié le : 1986-04-14
Classification:  Increments of renewal processes,  Erdos-Renyi strong laws,  strong approximations,  strong invariance principles,  large deviations,  60F15,  60F10,  60F17,  60G17,  60K05
@article{1176992530,
     author = {Steinebach, J.},
     title = {Improved Erdos-Renyi and Strong Approximation Laws for Increments of Renewal Processes},
     journal = {Ann. Probab.},
     volume = {14},
     number = {4},
     year = {1986},
     pages = { 547-559},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992530}
}
Steinebach, J. Improved Erdos-Renyi and Strong Approximation Laws for Increments of Renewal Processes. Ann. Probab., Tome 14 (1986) no. 4, pp.  547-559. http://gdmltest.u-ga.fr/item/1176992530/