Ergodicity and inequalities in a class of point processes

DOI10.1016/0304-4149(88)90079-8MaRDI QIDQ1110192zbMATH OpenOpenAlexFDO

Authors Torgny Lindvall

Publication date 1988

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(88)90079-8

zbMATH Keywords

Blackwell's renewal theoremdecreasing failure ratepoint processesrenewal process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Renewal theory (60K05)

Review text

The behaviour of a renewal process in the future depends on the past only through the time that has elapsed since the last renewal. Here we have a class of point processes where the future depends on the past only through the last m points and those points no more than A time units into the past. (Those past points relevant to the future constitute what is here called the memory process). Under fairly strong conditions on the (history dependent) hazard rate for the next point an analogue of Blackwell's renewal theorem is established for these processes. The proof is done by establishing the Harris recurrence of the memory process. In an earlier paper [Stochastic Processes Appl. 22, 1-15 (1986; Zbl 0611.60086)], the author explored the consequences of assuming a decreasing failure rate in renewal theory. Here a coupling is established linking together two point processes with different histories and this, together with an extended notion of decreasing failure rates, yields some similar results in this more general setting.

Recommendations

• On coupling of renewal processes with use of failure rates
• scientific article; zbMATH DE number 3842930
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Cites work

• Asymptotic behaviour of point processes with Markov-dependent intervals
• Bounds, inequalities, and monotonicity properties for some specialized renewal processes
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• scientific article; zbMATH DE number 3842916 (Why is no real title available?)
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• On coupling of renewal processes with use of failure rates
• Point processes and queues. Martingale dynamics
• Renewal theorem for a class of stationary sequences
• Stochastic inequalities on partially ordered spaces

Cited in

(16)

• On dependent marking and thinning of point processes
• Imbedded construction of stationary sequences and point processes with a random memory
• Some monotonicity and dependence properties of self-exciting point processes
• Coupling with compensators
• Pointwise inequalities for ergodic averages and reversed martingales.
• Time and Palm stationarity of repairable systems
• Brillinger-mixing point processes need not to be ergodic
• Poincaré inequality on the path space of Poisson point processes
• Point-map-probabilities of a point process and Mecke's invariant measure equation
• POINTWISE ERGODIC THEOREMS WITH RATE WITH APPLICATIONS TO LIMIT THEOREMS FOR STATIONARY PROCESSES
• scientific article; zbMATH DE number 4030642 (Why is no real title available?)
• scientific article; zbMATH DE number 94013 (Why is no real title available?)
• scientific article; zbMATH DE number 1774243 (Why is no real title available?)
• Ergodic Properties of Randomly Coloured Point Sets
• Stochastic ordering and thinning of point processes
• Ergodic properties of Poisson processes with almost periodic intensity

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