Intersection of independent regenerative sets (Q1295878)

A regenerative set \(\overline{\mathcal R}\) is a closed random subset of \([0,\infty)\) which can be identified with the closed range of a subordinator \(\{\sigma(t)\}_{t\geq 0}\) (i.e. an a.s. increasing Lévy process with \(\sigma(0)=0)\). The problem addressed in this paper is to find the distribution and other properties of the intersection of two independent regenerative sets \(\overline{\mathcal R}^{(1)}\cap\overline{\mathcal R}^{(2)}\). Denote by \(\sigma^{(i)}\), \({\mathcal R}^{(i)}=\sigma^{(i)}([0,\infty))\) the corresponding subordinators, by \(U^{(i)}(dx)\) their potential measures, and by \(R^{(i)}(t)=\inf\{s>0:s+t\in{\mathcal R}^{(i)}\}\) \((\inf\emptyset=\infty)\) the residual life-time process. \(\sigma^{(i)}\) or \({\mathcal R}^{(i)}\) are called heavy [light], if \(\sigma^{(i)}\) has [no] drift. The case where at least one of the sets \({\mathcal R}^{(i)}\) are discrete can be dealt with by arguments of \textit{H. Kesten} [Mem. Am. Math. Soc. 93 (1969; Zbl 0186.50202)] and is omitted here. The author now distinguishes between two situations: \((\sigma^{(1)},\sigma^{(2)})\) are both light, or one of them is heavy, say \(\sigma^{(2)}\). If in the latter case \(U^{(2)}(dx)=u^{(2)}(x)dx\), then \(\mathbb{P}((x+{\mathcal R}^{(1)})\cap{\mathcal R}^{(2)}\neq\emptyset)=U^{(1)}u^{(2)}(x)/U^{(1)}u^{(2)}u(0)\). The proof uses essentially the properties of the local time at \((0,0)\) of \((R^{(1)}(t),R^{(2)}(t))\). This generalizes a result by \textit{J. Hawkes} [Z. Wahrscheinlichkeitstheorie Verw. Geb. 37, 243-251 (1977; Zbl 0404.60077)]. The main result of the paper is the (light, light) case. Assuming again \(U^{(2)}(dx)=u^{(2)}(x)dx\) it is shown that \(\mathbb{P}((x+\overline{\mathcal R}^{(1)})\cap\overline{\mathcal R}^{(2)}\neq\emptyset)=c_0U^{(1)}u^{(2)}(x)\) \((0\cdot\infty=0)\) where \(c_0\) is the capacity of \(\{0\}\) for the subordinate process \(X(t)=R^{(1)}\circ\sigma^{(2)}(t)\). Moreover, if \(c_0>0\), then \(0\in{\mathcal R}^{(1)}\) is regular for \(\sigma^{(2)}\) if and only if \(U^{(1)}u^{(2)}\in C(\mathbb{R})\) or \(c_0^{-1}=U^{(1)}u^{(2)}(0)\). The proof relies on potential theoretic methods, in particular on the study of the first return time \(T_0\) of \(X(t)\) to \(\{0\}\). Note that the (light, light) assumption implies for \(x\neq 0\) that \[ \mathbb{P}(\exists t>0,\;\sigma_t^{(2)}\in x+{\mathcal R}^{(1)})=\mathbb{P}\bigl((x+\overline{\mathcal R}^{(1)})\cap\overline{\mathcal R}^{(2)}\neq\emptyset)=\mathbb{P}(T_0<\infty\mid X(0)=x\bigr). \] Immediate corollaries are criteria for (non-)polarity of the set \({\mathcal R}^{(1)}\) for \(\sigma^{(2)}\) which can be expressed in terms of the potential kernels and characteristic exponents of the subordinators. If \(U^{(1)}u^{(2)}\in C(\mathbb{R})\), then \(\overline{\mathcal R}^{(1)}\cap\overline{\mathcal R}^{(2)}\) is itself regenerative with potential measure being absolutely continuous w.r.t. \(U^{(1)}(dx)\). Moreover, \(\{t\geq 0:\sigma^{(2)}(t)\in{\mathcal R}^{(1)}\}\) is also regenerative and its characteristic exponent can be explicitly calculated.