Renewal theory was developed during the studies carried out on practical problems that arise from the degradation and replacement of components of complex systems. The fundamental theory can be found in [FEL 66], while [COX 62] is a monograph on the topic.
4.1. Fundamental concepts and examples
Note that, very often, to an arbitrary stochastic process there can naturally be associated sequences of i.i.d. r.v.
Let X1 ,X2,... be a sequence of real i.i.d. r.v., with the same d.f. F, F(−0) = 0, F(0) < 1, defined on a probability space . The sequence (Sn), where
is called a renewal chain (process).
In the applications that led to the renewal theory, the r.v. S1, S2, … represent the replacement (renewal) times of worn out components, while X1, X2, … are the working times (the times between successive arrivals). The expected value μ = (Xk), that exists and can be possibly +00, is called the mean lifetime of the components.
The counting function, i.e. the number of renewals during a time interval [0, t], is an r.v. defined by
and, for n ≥ 1, we have