Quantitative exponential bounds for the renewal theorem with spread-out distributions

Abstract

We establish explicit exponential convergence estimates for the renewal theorem, in terms of a uniform component of the inter arrival distribution, of its Laplace transform which is assumed finite on a positive interval, and of the Laplace transform of some related random variable. Our proof is based on a coupling construction relying on discrete-time Markovian structures that underly the renewal processes and on Lyapunov-Doeblin type arguments.

Accepted for publication in Markov Processes and Related Fields