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STOCHASTIC PROCESSES

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October 2010

Let {Xi , i N} be a sequence of IID positive random variables, with distribution F and mean 0 < . Think at the Xi as the times between events of a counting process. Let

n

S 0 = 0,

Sn =

i =1

Xi , n 0.

A renewal process is the process N = {N (t ), t R+ } dened as N (t ) = max{n : Sn t }, t 0. Distribution of N (t ): Since N (t ) n Sn t then P {N (t ) = n} = P {N (t ) n} P {N (t ) n + 1} = P {Sn t } P {Sn+1 t } = Fn (t ) Fn+1 (t ).

The function m(t ) = E [N (t )] is called renewal function.

Theorem

For all t 0 it holds m(t ) = Proof:

i =1

Fn (t ).

E [N (t )] =

i =1

nP {N (t ) = n} n [Fn (t ) Fn+1 (t )]

i =1

= =

i =1

nFn (t )

i =1

nFn+1 (t ) =

i =1

Fn (t ).

Under assumption F (0) = P {Xi = 0} < 1 then m(t ) < . From now on we will always assume this property.

Renewal equation

Theorem

The following holds:

t

m(t ) = F (t ) +

0

m(t x )dF (x ) t 0.

Proof:

E [N (t )] = E [E [N (t )| X1 ]] =

0 t

E [N (t )| X1 = x ]dF1 (x )

=

0 t

E [N (t )| X1 = x ]dF1 (x ) +

t

E [N (t )| X1 = x ]dF1 (x )

t

=

0

E [N (t x ) + 1]dF1 (x ) = F (t ) +

0

m(t x )dF (x )

The distribution of SN (t )

Theorem

Let F denotes the survival function of the Xi . For 0 s t it holds

s

P {SN (t ) s } = F (t ) + Proof:

F (t y )dm(y ).

0

P {SN (t ) s } =

n=0

n=1 s 0 s

= F (t ) +

n=1

= F (t ) +

n=1 s 0

= F (t ) +

0

F (t y )d

n=1

Fn (y ) = F (t ) +

0

F (t y )dm(y )

Limit theorems

Theorem

With probability 1, it holds lim N (t ) 1 = t

SN (t ) N (t )

t N (t )

<

SN (t )+1 N (t )

t . Moreover

S N (t ) N (t )

for t . Thus

The following three results are stated without proof. Elementary Renewal Theorem

Theorem

It holds m(t ) 1 = t t lim

Blackwells Theorem. Recall that a nonnegative r.v. X (or its distribution F ) is said to be a lattice if there exist d 0 such that i =0 P {X = nd } = 1.

Theorem

If F is not a lattice, then for all a 0 m(t + a) m(t ) If F is a lattice with period d, then E [number of renewals at nd ] d as n a as t

Theorem

If F is not a lattice, and h is a Riemann integrable function, then

t t 0

lim

h(t x )dm(x ) =

0

h (t ) dt .

Let {(Zi , Yi ), i N} be a family of IID bivariate vectors of positive r.v.s. Zi H : times spent in the ON state Yi G : times spent in the OFF state Xi = Zi + Yi F : renewals of the process

Theorem

Let P (t ) = P [system is ON at time t ]. If E [Xi ] < and F is nonlattice, then E [Zi ] lim P (t ) = t E [Zi + Yi ] Proof:

t

0 t

0

= H (t ) +

0

H (t y )dm(y ) t

H (t )dt E [Z ] = E [X ] E [Z + Y ]

Equilibrium distributions

Consider: Y (t ) = SN (t )+1 t : residual life at t A(t ) = t SN (t ) : age at t

Theorem

If the Xi are nonlattice and < then lim P {Y (t ) x } = lim P {A(t ) x } =

t x 0

F (y )dy

Proof:

t

lim P {A(t ) x } = =

E [min(X , x )] E [X ]

0

x 0

F (y )dy

is called equilibrium distribution of X The distribution Fe (x ) = 0 (or Palm distribution). Its relevance in the applications is obvious.

F (y )dy

Let XN (t )+1 = SN (t )+1 SN (t ) = A(t ) + Y (t ). The inspection paradox says that: P {XN (t )+1 > x } F (x ) x 0. Proof:

t

0 t 0 t

P {XN (t )+1 > x |SN (t ) = y } dFSN (t ) (y ) P {XN (t )+1 > x |XN (t )+1 > t y } dFSN (t ) (y ) F (max(x , t y ) dFSN (t ) (y ) F (t y )

t

=

0

t x

=

0 t x

dFSN (t ) (y ) +

t x

F (x ) dFSN (t ) (y ) F (t y )

t t x

F (x ) dFSN (t ) (y ) +

F (x ) dFSN (t ) (y ) F (x )

A renewal process N that possesses stationary increments is called stationary point process. Particularly important among the stationary point processes is the equilibrium renewal process, denoted here as Ne , that is dened as the renewal processes but where the rst epoch time X1 = S1 is distributed according to the equilibrium distribution (the distribution of Y (t )).

Theorem

For the equilibrium renewal process Ne : t me (t ) = ; P {Ye (t ) x } = Fe (x ) for all t 0; Ne has stationary increments. Proof: see Theorem 3.5.2 in Ross.

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