A Proof of Basic Limit Theorem of Renewal Theory

Abstract

Let $\{q_n\}_{n=0}^\infty\subset [0,1]$ satisfy $q_0=0$, $\sum_{n=0}^\infty q_n=1$, and $\gcd\{n\geq 1\mid q_n\neq 0\}=1$. We consider the following process: Let $x$ be a real number. We first set $x=0$. Then $x$ is increased by $i$ with probability $q_i~(i=0,1,2,\cdots)$ every time. For $n\geq 0$, let $p_n$ be the probability such that $x=n$ occurs, so we have $p_0=1$ and $p_n=q_1p_{n-1}+q_2p_{n-2}+\cdots+q_np_0~(n\geq 1)$. In this setting, we have $\lim_n p_n=1/\sum_{i=0}^\infty iq_i$, where we define $1/\sum_{i=0}^\infty iq_i=0$ if $\sum_{i=0}^\infty iq_i=+\infty$. This result is known as (discrete case of) Blackwell's renewal theorem. The proof of $\lim_n p_n=1/\sum_{i=0}^\infty iq_i$ is not trivial, while the meaning of $\lim_n p_n=1/\sum_{i=0}^\infty iq_i$ is clear since the expected value of increasing number $i$ is $\sum_{i=0}^\infty iq_i$. Many proofs of this result have been given. In this paper, we will also provide a proof of this result. The idea of our proof is based on Fourier-analytic methods and Tauberian theorems for almost convergent sequences, while we actually need only elementary analysis.