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We review the theory of regenerative processes, which are processes that can be intuitively seen as comprising of i.i.d. cycles. Although we focus on the classical definition, we present a more general definition that allows for some form of dependence between two adjacent cycles, and mention two further extensions of the second definition. We mention the connection of regenerative processes to the single-server queue, to multi-server queues and more generally to Harris ergodic Markov chains and processes. In the main theorem, we pay some attention to the conditions under which a limiting distribution exists and provide references that should serve as a starting point for the interested reader.
We analyze almost sure asymptotic behavior of extreme values of a regenerative process. We show that under certain conditions a properly centered and normalized running maximum of a regenerative process satisfies a law of the iterated logarithm for t
Given a two-sided real-valued Levy process $(X_t)_{t in mathbb{R}}$, define processes $(L_t)_{t in mathbb{R}}$ and $(M_t)_{t in mathbb{R}}$ by $L_t := sup{h in mathbb{R} : h - alpha(t-s) le X_s text{ for all } s le t} = inf{X_s + alpha(t-s) : s le t}
A regenerative random composition of integer $n$ is constructed by allocating $n$ standard exponential points over a countable number of intervals, comprising the complement of the closed range of a subordinator $S$. Assuming that the L{e}vy measure
For $widetilde{cal R} = 1 - exp(- {cal R})$ a random closed set obtained by exponential transformation of the closed range ${cal R}$ of a subordinator, a regenerative composition of generic positive integer $n$ is defined by recording the sizes of cl
We consider random processes that are history-dependent, in the sense that the distribution of the next step of the process at any time depends upon the entire past history of the process. In general, therefore, the Markov property cannot hold, but i