Asymptotics of random processes with immigration II: convergence to stationarity

Abstract

Let $X_1, X_2,\ldots$ be random elements of the Skorokhod space $D(\mathbb{R})$ and $\xi_1, \xi_2, \ldots$ positive random variables such that the pairs $(X_1,\xi_1), (X_2,\xi_2),\ldots$ are independent and identically distributed. We call the random process $(Y(t))_{t \in \mathbb{R}}$ defined by $Y(t):=\sum_{k \geq 0}X_{k+1}(t-\xi_1-\ldots-\xi_k)1_{\{\xi_1+\ldots+\xi_k\leq t\}}$, $t\in\mathbb{R}$ random process with immigration at the epochs of a renewal process. Assuming that $X_k$ and $\xi_k$ are independent and that the distribution of $\xi_1$ is nonlattice and has finite mean we investigate weak convergence of $(Y(t))_{t\in\mathbb{R}}$ as $t\to\infty$ in $D(\mathbb{R})$ endowed with the $J_1$-topology. The limits are stationary processes with immigration.