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Proceedings of the American Mathematical Society
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A renewal theorem in the finite-mean case

Author(s): J. L. Geluk
Journal: Proc. Amer. Math. Soc. 125 (1997), 3407-3413.
MSC (1991): Primary 60K05
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Abstract: Let $F(.)$ be a c.d.f. on $(0,\infty )$ such that $\overline F(.) \equiv 1-F(.)$ is regularly varying with exponent $-\alpha ,~1<\alpha <2$. Then $U(t)- \frac {t}{\mu } -\frac {1}{\mu ^2} \int _0^t \int _s^\infty \overline F(v) dv  ds = O(t^4 \overline F(t)^2 \overline F(t^2\overline F(t)))$ as $t \to \infty $, where $U(t)=EN(t)$ is the renewal function associated with $F(t)$. Moreover similar estimates are given for distributions in the domain of attraction of the normal distribution and for the variance of $N(t).$ The estimates improve earlier results of Teugels and Mohan.


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Additional Information:

J. L. Geluk
Affiliation: Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, NL-3000 DR Rotterdam, The Netherlands
Email: jgeluk@few.eur.nl

DOI: 10.1090/S0002-9939-97-03955-5
PII: S 0002-9939(97)03955-5
Keywords: Renewal function, regular variation, key renewal theorem, domain of attraction
Received by editor(s): March 12, 1996
Received by editor(s) in revised form: June 21, 1996
Communicated by: Stanley Sawyer
Copyright of article: Copyright 1997, American Mathematical Society


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