Let $A_t=t-S_{N_t -1}$ with $N_t$ a renewal process

1)Show $A_t$ checks the Markov property

my proof: $S_{N_t}=X_1+\cdots+X_{N_t}$ and the increments are independents $$P(S_{N_t-1}=t-y\mid S_{N_{u_1}-1}=u_1-x_1,\ldots,S_{N_{u_n}-1}=u_n-x_n)=P(S_{N_t-1}-S_{N_{u_n}-1}=t-y-(u_n-x_n))=P(S_{N_t-1}=t-y\mid S_{N_{u_n}-1}=u_n-x_n)$$

Is it correct?

Thank you


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.