Regenerative process

Regenerative processes have been used to model problems in inventory control. The inventory in a warehouse such as this one decreases via a stochastic process due to sales until it gets replenished by a new order.^[1]

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.^[2] 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.^[5] Intuitively this means a regenerative process can be split into i.i.d. cycles.^[6]

When T₀ = 0, X(t) is called a nondelayed regenerative process. Else, the process is called a delayed regenerative process.^[5]

Examples

Renewal processes are regenerative processes, with T₁ being the first renewal.^[2]
Alternating renewal processes, where a system alternates between an 'on' state and an 'off' state.^[2]
A recurrent Markov chain is a regenerative process, with T₁ being the time of first recurrence.^[2] This includes Harris chains.
Reflected Brownian motion is a regenerative process (where one measures the time it takes particles to leave and come back).^[6]

Properties

By the renewal reward theorem, with probability 1,^[7]

\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^[7]

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. doi:10.1287/opre.15.3.467. JSTOR 168455.
1 2 3 4 5 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): 6–4. Bibcode:1955RSPSA.232....6S. doi:10.1098/rspa.1955.0198.
1 2 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.
1 2 Asmussen, Søren (2003). "Regenerative Processes". Applied Probability and Queues. Stochastic Modelling and Applied Probability 51. pp. 168–185. doi:10.1007/0-387-21525-5_6. ISBN 978-0-387-00211-8.
1 2 Sigman, Karl (2009) Regenerative Processes, lecture notes

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

Continuous time	Bessel process Birth–death process Brownian motion Bridge Excursion Fractional Geometric Meander Cauchy process Contact process Continuous-time random walk Cox process Diffusion process Empirical process Feller process Fleming–Viot process Gamma 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 Point process 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 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	Black–Derman–Toy Black–Karasinski Black–Scholes Chen Constant elasticity of variance (CEV) Cox–Ingersoll–Ross (CIR) Garman–Kohlhagen Heath–Jarrow–Morton (HJM) Heston Ho–Lee Hull–White 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

Inequalities	Burkholder–Davis–Gundy Doob's martingale Kunita–Watanabe

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 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 Econometrics Ergodic theory Extreme value theory (EVT) Large deviations theory Mathematical finance Mathematical statistics Probability theory Queueing theory Renewal theory Ruin theory Statistics Stochastic analysis Time series analysis Machine learning

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