Upper Bounds for the Renewal Function Via Fourier Methods
Daley, D. J.
Ann. Probab., Tome 6 (1978) no. 6, p. 876-884 / Harvested from Project Euclid
Stone has used Fourier analytic methods to show that the renewal function $U(x) = \sum^\infty_0 F^{n\ast}(x)$ for a random variable $X$ with distribution function $F$, finite second moment and positive mean $\lambda^{-1} = EX$, is bounded above by $\lambda x_+ + C\lambda^2EX^2$ for a universal constant $C, 1 \leqq C < 3$. This paper refines his method to prove that $C < 2.081$, and shows that within certain constraints the smallest upper bound on $C$ that the method will yield is 1.809. Various authors' work on the simpler case where $X \geqq 0$ is summarized: the best result is the earliest published one, due to Lorden, who showed that then $C = 1$.
Publié le : 1978-10-14
Classification:  Renewal function bound,  Fourier methods,  60K05
@article{1176995434,
     author = {Daley, D. J.},
     title = {Upper Bounds for the Renewal Function Via Fourier Methods},
     journal = {Ann. Probab.},
     volume = {6},
     number = {6},
     year = {1978},
     pages = { 876-884},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995434}
}
Daley, D. J. Upper Bounds for the Renewal Function Via Fourier Methods. Ann. Probab., Tome 6 (1978) no. 6, pp.  876-884. http://gdmltest.u-ga.fr/item/1176995434/