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Multivariate weighted renewal functions

Abstract:

Let (X, Y), (X1, Y1), (X2, Y2), ... denote independent positive random vectors with common distribution function F (x, y) = P (X ≤ x, Y ≤ y) with F (x, y) < 1 for all x, y. Based on the Xi and the Yj we construct the sum sequences Sn1 and Sm2 respectively. For a double sequence of weighting constants { b (n, m) } we associate a weighted renewal function G (x, y) defined as G (x, y) = ∑n = 0∞ ∑m = 0∞ b (n, m) P (Sn1 ≤ x, Sm2 ≤ y). The function G (x, y) can be expressed in terms of well-known renewal quantities. The main goal of this paper is to study asymptotic properties of G (x, y). In the one-dimensional case such results have been obtained among others by Omey and Teugels [Weighted renewal functions: a hierarchical approach, Adv. in Appl. Probab. 34 (2002) 394-415.] and Alsmeyer [Some relations between harmonic renewal measures and certain first passage times, Statist. Probab. Letters 12 (1991) 19-27; On generalized renewal measures and certain first passage times, Ann. Probab. 20 (1992) 1229-1247]. Here we prove a multivariate version of the elementary renewal theorem and moreover we obtain a rate of convergence result in this elementary renewal theorem. We close the paper with an application and some concluding remarks. For convenience we prove and formulate the results in the two-dimensional case only. © 2005 Elsevier Inc. All rights reserved.