A note on convergence to stationarity of random processes with immigration

Publication date 27 September 2016

Abstract: Let

X_{1}, X_{2}, l d o t s

be random elements of the Skorokhod space

D (m a t h b b R)

and

x i_{1}, x i_{2}, l d o t s

positive random variables such that the pairs

(X_{1}, x i_{1}), (X_{2}, x i_{2}), l d o t s

are independent and identically distributed. The random process

Y (t) := s u m_{k g e q 0} X_{k + 1} (t - x i_{1} - l d o t s - x i_{k}) 1_{x i_{1} + l d o t s + x i_{k} l e q t}

,

t i n m a t h b b R

, is called random process with immigration at the epochs of a renewal process. Assuming that the distribution of

x i_{1}

is nonlattice and has finite mean while the process

X_{1}

decays sufficiently fast, we prove weak convergence of

(Y (u + t))_{u i n m a t h b b R}

as

t o i n f t y

on

D (m a t h b b R)

endowed with the

J_{1}

-topology. The present paper continues the line of research initiated in Iksanov, Marynych and Meiners (2015+).

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