Regenerative stochastic processes

Abstract

A wide class of stochastic processes, called regenerative, is defined, and it is shown that under general conditions the instantaneous probability distribution of such a process tends with time to a unique limiting distribution, whatever the initial conditions. The general results are then applied to 'S.M.-processes’, a generalization of Markov chains, and it is shown that the limiting distribution of the process may always be obtained by assuming negative exponential distributions for the ‘waits’ in the different ‘states’. Lastly, the behaviour of integrals of regenerative processes is considered and, amongst other results, an ergodic and a multi-dimensional central limit theorem are proved.