The Annals of Applied Probability

Limits of First Passage Times to Rare Sets in Regenerative Processes

Paul Glasserman and Shing-Gang Kou

Full-text: Open access

Abstract

We consider limits of first passage times to indexed families of nested sets in regenerative processes. The sets are exponentially rare, in the sense that the probability that the process reaches an indexed set in a cycle vanishes exponentially fast in the indexing parameter. Under appropriate formulations of this hypothesis, we prove strong laws, iterated logarithm laws and limits in distribution, both for the index of the rarest set reached in a cycle and for the time to reach a set. An interesting feature of the iterated logarithm laws is an asymmetry in the normalizations for the upper and lower limits. Our results apply to (possibly delayed) wide-sense regenerative processes, as well as those with independent cycles. We illustrate our results with queueing examples.

Article information

Source
Ann. Appl. Probab., Volume 5, Number 2 (1995), 424-445.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1177004772

Digital Object Identifier
doi:10.1214/aoap/1177004772

Mathematical Reviews number (MathSciNet)
MR1336877

Zentralblatt MATH identifier
0830.60021

JSTOR
links.jstor.org

Subjects
Primary: 60F20: Zero-one laws
Secondary: 60F15: Strong theorems 60G70: Extreme value theory; extremal processes

Keywords
Extreme values first passage times law of the iterated logarithm limit theorems rare events regenerative processes

Citation

Glasserman, Paul; Kou, Shing-Gang. Limits of First Passage Times to Rare Sets in Regenerative Processes. Ann. Appl. Probab. 5 (1995), no. 2, 424--445. doi:10.1214/aoap/1177004772. https://projecteuclid.org/euclid.aoap/1177004772


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