A martingale view of Blackwell's renewal theorem and its extensions to a general counting process

DOI10.1017/JPR.2019.35MaRDI QIDQ5226261zbMATH OpenOpenAlexFDO

Authors Masakiyo Miyazawa, D. J. Daley

Publication date 31 July 2019

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.06278

zbMATH Keywords

Blackwell's renewal theoremkey renewal theoremmodulated renewal processpalm distributionrenewal processsemimartingaleSmith's asymptotic formulaestationary intervalsWald's identity

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Processes in random environments (60K37)

Abstract: Martingales constitute a basic tool in stochastic analysis; this paper considers their application to counting processes. We use this tool to revisit a renewal theorem and its extensions for various counting processes. We first consider a renewal process as a pilot example, deriving a new semimartingale representation that differs from the standard decomposition via the stochastic intensity function. We then revisit Blackwell's renewal theorem, its refinements and extensions. Based on these observations, we extend the semimartingale representation to a general counting process, and give conditions under which asymptotic behaviour similar to Blackwell's renewal theorem holds.

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Cited in

(3)

• Blackwell's renewal theorem for certain linear submartingales and coupling
• A recurrence theorem for square-integrable martingales
• Invariance principle and McKean-Vlasov limit for randomized load balancing in heavy traffic

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