RENEWAL

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Ergodicity of one-dimensional regime-switching diffusion processes被引量：2
《Science China Mathematics》2014年第11期2407-2414,共8页SHAO JingHai 
supported by National Natural Science Foundation of China(Grant No.11301030);Beijing Higher Education Young Elite Teacher Project
In this work,for a one-dimensional regime-switching diffusion process,we show that when it is positive recurrent,then there exists a stationary distribution,and when it is null recurrent,then there exists an invariant...
关键词：regime-switching diffusion ERGODICITY positive recurrence renewal theorem 
Age-dependent branching processes in random environments被引量：12
《Science China Mathematics》2008年第10期1807-1830,共24页LI YingQiu LIU QuanSheng 
the National Natural Sciente Foundation of China (Grant Nos. 10771021, 10471012);Scientific Research Foundation for Returned Scholars, Ministry of Education of China (Grant No. [2005]564)
We consider an age-dependent branching process in random environments. The environments are represented by a stationary and ergodic sequence ξ = (ξ 0, ξ 1,…) of random variables. Given an environment ξ, the proce...
关键词：age-dependent branching processes random environments probability generating function integral equation extinction probability exponential growth rates of expectation and conditional expectation random walks and renewal equation in random environments renewal theorem 60J80 60K37 60K05 
Local asymptotic behavior of the survival probability of the equilibrium renewal model with heavy tails被引量：1
《Science China Mathematics》2005年第3期300-306,共7页JIANG Tao & CHEN Yiqing School of Finance. Nanjing University of Finance and Economics, Nanjing 210003, China School of Economics and Management, Guangdong University of Technology, Guangzhou 510090, China 
Acknowledgements The authors are indebted to referee for his/her helpful comments.This work was supported by the National Natural Science Foundation of China(Grant No.70471071);Philosophy and Social Science Foundation of the Education Department of Jiangsu Province(Grant No.04SJB630005).
Recently, Tang established a local asymptotic relation for the ruin probability in the Cramer-Lundberg risk model. In this short note we extend the corresponding result to the equilibrium renewal risk model.
关键词：geometric sums  heavy-tailed distribution  LADDER height  the EQUILIBRIUM RENEWAL model  the RUIN probability. 
A contribution to large deviations for heavy-tailed random sums被引量：27
《Science China Mathematics》2001年第4期438-444,共7页苏淳 唐启鹤 江涛 
This work was supported by the National Natural Science Foundation of China (Grant No. 10071081) .
In this paper we consider the large deviations for random sums $S(t) = \sum _{i = t}^{N(t)} X_i ,t \geqslant 0$ , whereX n,n?1 are independent, identically distributed and non-negative random variables with a common h...
关键词：(extended) regular variation extreme value theory large deviations renewal counting process renewal risk model subexponential distributions 
First passage times for Markov renewal processes and applications
《Science China Mathematics》2000年第12期1238-1249,共12页徐光煇 袁学明 李泉林 
This paper proposes a uniformly convergent algorithm for the joint transform of the first passage time and the first passage number of steps for general Markov renewal processes with any initial state probability vect...
关键词：MARKOV RENEWAL process (MRP) joint transform first PASSAGE time BUSY period BUSY cycle UNIFORM error. 
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