Enumeration of the records of a Poisson point process (Q1568287)

Let \(V(A)\), \(A\subset (0,\infty)\times(0, \infty)\), be a Poisson process with \(EV([u,v]\times B)= (v-u)\mu(B)\), \(0< u<v\), where \(\mu\) is a measure on \((0,\infty)\) with \(\mu(0, a)= \infty\), \(\mu[a,\infty)<\infty\), \(a>0\). Then \(V([u,v]\times (0,a))= \infty\) a.s., for \(a>0\), \(0< u<v\). When \(V\) has a point at \((t,x)\) define \(X(t)= x\), otherwise \(X(t)= 0\). Let \(D\) be the set of wide-sense record epochs of the process \(X(t)\), i.e. the set of times \(\tau\) such that \(X(\tau)\geq \sup\{X(s): 0\leq s<\tau\}\). Then \(D\) has a.s. infinitely many points in any \((0,\varepsilon)\), \(\varepsilon> 0\). The problem is whether we may write \(D= \{T_n, n\in\mathbb{Z}\}\) where \(T_n\) is a two-sided strictly increasing sequence of stopping times with respect to an increasing family \(F(t)\) of \(\sigma\)-algebras such that \(X(s)\), \(s\leq t\), is \(F(t)\)-measurable and \(\{X(t), t\geq 0\}\) has the ``strong Poisson'' property. The answer is no since then \(X(T_n)\), \(n\in\mathbb{Z}\), would be a Markov chain with transition probabilities \(\pi(x,A)=\mu(A)/\mu[x, \infty)\) for \(A\subset [x, \infty)\) and such Markov chains do not exist. To show this some curious properties of chains \(Z(n)\), \(n= 0,1,2,\dots\), with transition probabilities \(\pi(x, A)\) are derived. The existence of a chain \(Y(n)\), \(n\in\mathbb{Z}\), with \(\pi(x,.)\) then is shown to imply a contradiction. Unexpectedly, the strict record times may admit a sequence \(T_n\), \(n\in\mathbb{Z}\), as above. The measures \(\mu\) for which this holds are characterized in terms of their atoms. Finally, the problem of mapping \(D\) cyclically onto \(\mathbb{Z}/q\mathbb{Z}\) is considered.