Renewal-scaled solutions of the Kolmogorov forward equation for residual times

Abstract

Let $N(\tau)$ be a renewal process for independent holding times $\{X_i\}_{k \ge 0}$ ,where $\{X_k\}_{k\ge 1}$ are identically distributed with density $p(x)$. If the associated residual time $R(\tau)$ has a density $u(x,\tau)$, its Kolmogorov forward equation is given by \begin{equation*} \partial_\tau u(x,\tau)-\partial_x u(x,\tau) = p(x)u(0,\tau), \quad x,\tau \in [0, \infty), \end{equation*} with an initial holding time density $u(x,0)=u_0(x)$. We derive a measure-valued solution formula for the density of residual times after an expected number of renewals occur. Solutions under this time scale are then shown to evolve continuously in the space of measures with the weak topology for a wide variety of holding times.