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arXiv · 1701.02626

The left tail of renewal measure

Bartosz Kołodziejek
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Abstract

In the paper, we find exact asymptotics of the left tail of renewal measure for a broad class of two-sided random walks. We only require that an exponential moment of the left tail is finite. Through a simple change of measure approach, our result turns out to be almost equivalent to Blackwell's Theorem.

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Bartosz Kołodziejek. 2017-07-31. The left tail of renewal measure. https://doi.org/10.1016/j.spl.2017.06.018

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