Backward limits

DOI10.1214/AOP/1176991796MaRDI QIDQ1102034zbMATH OpenOpenAlexFDO

Authors Hermann Thorisson

Publication date 1988

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176991796

zbMATH Keywords

Backward limitsexistence of a two-sided time-inhomogeneous limitinhomogeneous regenerationregeneration timesregenerative properties

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Generalized stochastic processes (60G20) Markov processes (60J99)

Review text

The author raised the question: Start the process at an arbitrary time s and check what happens to its distribution in a fixed time interval [t,\(\infty)\) as the starting time s goes backward to -\(\infty\). Backward limits are considered for time-inhomogeneous regenerative processes introduced by the author [Adv. Appl. Probab. 15, 531-561 (1983; Zbl 0512.60080)]. The existence of a two-sided time-inhomogeneous limit (in the sense of total variation) process, which inherits the regenerative properties, is proved, under regularity conditions on the regeneration times.

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• On stationary Markov chains and independent random variables

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