Mikael Petersson: Asymptotic Expansions for Perturbed Discrete Time Renewal Equations
Tid: On 2013-11-20 kl 15.15
Plats: The Cramér room (room 306), building 6, Kräftriket, Department of mathematics, Stockholm university
Ämnesområde: Mathematical statistics
Licentiand: Mikael Petersson
Granskare: Henrik Hult, KTH
In this thesis we study the asymptotic behaviour of the solution of a discrete time renewal equation depending on a small perturbation parameter. In particular, we construct asymptotic expansions for the solution of the renewal equation and related quantities. The results are applied to studies of quasi-stationary phenomena for regenerative processes and asymptotics of ruin probabilities for a discrete time analogue of the Cramér-Lundberg risk model.