Regenerative process

In applied probability, a regenerative process is a class of stochastic process with the property that certain portions of the process can be treated as being statistically independent of each other.^[2] This property can be used in the derivation of theoretical properties of such processes.

History

Regenerative processes were first defined by Walter L. Smith in Proceedings of the Royal Society A in 1955.^[3]^[4]

Definition

A regenerative process is a stochastic process with time points at which, from a probabilistic point of view, the process restarts itself.^[5] These time point may themselves be determined by the evolution of the process. That is to say, the process {X(t), t ≥ 0} is a regenerative process if there exist time points 0 ≤ T₀ < T₁ < T₂ < ... such that the post-T_k process {X(T_k + t) : t ≥ 0}

has the same distribution as the post-T₀ process {X(T₀ + t) : t ≥ 0}
is independent of the pre-T_k process {X(t) : 0 ≤ t < T_k}

for k ≥ 1.^[6] Intuitively this means a regenerative process can be split into i.i.d. cycles.^[7]

When T₀ = 0, X(t) is called a nondelayed regenerative process. Else, the process is called a delayed regenerative process.^[6]

Examples

Renewal processes are regenerative processes, with T₁ being the first renewal.^[5]
Alternating renewal processes, where a system alternates between an 'on' state and an 'off' state.^[5]
A recurrent Markov chain is a regenerative process, with T₁ being the time of first recurrence.^[5] This includes Harris chains.
Reflected Brownian motion is a regenerative process (where one measures the time it takes particles to leave and come back).^[7]

Properties

By the renewal reward theorem, with probability 1,^[8]

\lim _{t\to \infty }{\frac {1}{t}}\int _{0}^{t}X(s)ds={\frac {\mathbb {E} [R]}{\mathbb {E} [\tau ]}}.

where

\tau

is the length of the first cycle and

R=\int _{0}^{\tau }X(s)ds

is the value over the first cycle.

A measurable function of a regenerative process is a regenerative process with the same regeneration time^[8]

References

^ Hurter, A. P.; Kaminsky, F. C. (1967). "An Application of Regenerative Stochastic Processes to a Problem in Inventory Control". Operations Research. 15 (3): 467–472. doi:10.1287/opre.15.3.467. JSTOR 168455.
^ Ross, S. M. (2010). "Renewal Theory and Its Applications". Introduction to Probability Models. pp. 421–641. doi:10.1016/B978-0-12-375686-2.00003-0. ISBN 9780123756862.
^ Schellhaas, Helmut (1979). "Semi-Regenerative Processes with Unbounded Rewards". Mathematics of Operations Research. 4: 70–78. doi:10.1287/moor.4.1.70. JSTOR 3689240.
^ Smith, W. L. (1955). "Regenerative Stochastic Processes". Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences. 232 (1188): 6–31. Bibcode:1955RSPSA.232....6S. doi:10.1098/rspa.1955.0198.
^ ^a ^b ^c ^d Sheldon M. Ross (2007). Introduction to probability models. Academic Press. p. 442. ISBN 0-12-598062-0.
^ ^a ^b Haas, Peter J. (2002). "Regenerative Simulation". Stochastic Petri Nets. Springer Series in Operations Research and Financial Engineering. pp. 189–273. doi:10.1007/0-387-21552-2_6. ISBN 0-387-95445-7.
^ ^a ^b Asmussen, Søren (2003). "Regenerative Processes". Applied Probability and Queues. Stochastic Modelling and Applied Probability. Vol. 51. pp. 168–185. doi:10.1007/0-387-21525-5_6. ISBN 978-0-387-00211-8.
^ ^a ^b Sigman, Karl (2009) Regenerative Processes, lecture notes

v t e Stochastic processes
Discrete time	Bernoulli process Branching process Chinese restaurant process Galton–Watson process Independent and identically distributed random variables Markov chain Moran process Random walk Loop-erased Self-avoiding Biased Maximal entropy
Continuous time	Additive process Bessel process Birth–death process pure birth Brownian motion Bridge Excursion Fractional Geometric Meander Cauchy process Contact process Continuous-time random walk Cox process Diffusion process Dyson Brownian motion Empirical process Feller process Fleming–Viot process Gamma process Geometric process Hawkes process Hunt process Interacting particle systems Itô diffusion Itô process Jump diffusion Jump process Lévy process Local time Markov additive process McKean–Vlasov process Ornstein–Uhlenbeck process Poisson process Compound Non-homogeneous Schramm–Loewner evolution Semimartingale Sigma-martingale Stable process Superprocess Telegraph process Variance gamma process Wiener process Wiener sausage
Both	Branching process Gaussian process Hidden Markov model (HMM) Markov process Martingale Differences Local Sub- Super- Random dynamical system Regenerative process Renewal process Stochastic chains with memory of variable length White noise
Fields and other	Dirichlet process Gaussian random field Gibbs measure Hopfield model Ising model Potts model Boolean network Markov random field Percolation Pitman–Yor process Point process Cox Poisson Random field Random graph
Time series models	Autoregressive conditional heteroskedasticity (ARCH) model Autoregressive integrated moving average (ARIMA) model Autoregressive (AR) model Autoregressive–moving-average (ARMA) model Generalized autoregressive conditional heteroskedasticity (GARCH) model Moving-average (MA) model
Financial models	Binomial options pricing model Black–Derman–Toy Black–Karasinski Black–Scholes Chan–Karolyi–Longstaff–Sanders (CKLS) Chen Constant elasticity of variance (CEV) Cox–Ingersoll–Ross (CIR) Garman–Kohlhagen Heath–Jarrow–Morton (HJM) Heston Ho–Lee Hull–White Korn-Kreer-Lenssen LIBOR market Rendleman–Bartter SABR volatility Vašíček Wilkie
Actuarial models	Bühlmann Cramér–Lundberg Risk process Sparre–Anderson
Queueing models	Bulk Fluid Generalized queueing network M/G/1 M/M/1 M/M/c
Properties	Càdlàg paths Continuous Continuous paths Ergodic Exchangeable Feller-continuous Gauss–Markov Markov Mixing Piecewise-deterministic Predictable Progressively measurable Self-similar Stationary Time-reversible
Limit theorems	Central limit theorem Donsker's theorem Doob's martingale convergence theorems Ergodic theorem Fisher–Tippett–Gnedenko theorem Large deviation principle Law of large numbers (weak/strong) Law of the iterated logarithm Maximal ergodic theorem Sanov's theorem Zero–one laws (Blumenthal, Borel–Cantelli, Engelbert–Schmidt, Hewitt–Savage, Kolmogorov, Lévy)
Inequalities	Burkholder–Davis–Gundy Doob's martingale Doob's upcrossing Kunita–Watanabe Marcinkiewicz–Zygmund
Tools	Cameron–Martin formula Convergence of random variables Doléans-Dade exponential Doob decomposition theorem Doob–Meyer decomposition theorem Doob's optional stopping theorem Dynkin's formula Feynman–Kac formula Filtration Girsanov theorem Infinitesimal generator Itô integral Itô's lemma Karhunen–Loève theorem Kolmogorov continuity theorem Kolmogorov extension theorem Lévy–Prokhorov metric Malliavin calculus Martingale representation theorem Optional stopping theorem Prokhorov's theorem Quadratic variation Reflection principle Skorokhod integral Skorokhod's representation theorem Skorokhod space Snell envelope Stochastic differential equation Tanaka Stopping time Stratonovich integral Uniform integrability Usual hypotheses Wiener space Classical Abstract
Disciplines	Actuarial mathematics Control theory Econometrics Ergodic theory Extreme value theory (EVT) Large deviations theory Mathematical finance Mathematical statistics Probability theory Queueing theory Renewal theory Ruin theory Signal processing Statistics Stochastic analysis Time series analysis Machine learning
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