Backward Limits
Thorisson, Hermann
Ann. Probab., Tome 16 (1988) no. 4, p. 914-924 / Harvested from Project Euclid
We consider a time-inhomogeneous regenerative process starting from regeneration at time $s$ and prove, under regularity conditions on the regeneration times, that the distribution of the process in a fixed time interval $\lbrack t, \infty)$ stabilizes as the starting time $s$ tends backward to $-\infty$ (the convergence considered here is in the sense of total variation). This implies the existence of a two-sided time-inhomogeneous process "starting from regeneration at $-\infty$." We also show that if a time-inhomogeneous regenerative process admits a limit law in the traditional forward sense, then it is asymptotically time-homogeneous; thus the backward approach widely extends the class of processes admitting a limit law.
Publié le : 1988-04-14
Classification:  Backward limits,  inhomogeneous regeneration,  regenerative process,  inhomogeneous Markov process,  two-sided process,  60G07,  60G20,  60J99
@article{1176991796,
     author = {Thorisson, Hermann},
     title = {Backward Limits},
     journal = {Ann. Probab.},
     volume = {16},
     number = {4},
     year = {1988},
     pages = { 914-924},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991796}
}
Thorisson, Hermann. Backward Limits. Ann. Probab., Tome 16 (1988) no. 4, pp.  914-924. http://gdmltest.u-ga.fr/item/1176991796/