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A Renewal Shot Noise Process with Subexponential Shot Marks
Yiqing Chen (Drake University)
Risks
DOI: 10.3390/risks7020063 (Decision Sciences)
License: CC BY
Abstract: We investigate a shot noise process with subexponential shot marks occurring at renewal epochs. Our main result is a precise asymptotic formula for its tail probability. In doing so, some recent results regarding sums of randomly weighted subexponential random variables play a crucial role.
Published on 05 Jun. 2019