Limits of renewal processes and Pitman-Yor distribution

Abstract: We consider a renewal process with regularly varying stationary and weakly dependent steps, and prove that the steps made before a given time $t$, satisfy an interesting invariance principle. Namely, together with the age of the renewal process at time $t$, they converge after scaling to the Pitman--Yor distribution. We further discuss how our results extend the classical Dynkin--Lamperti theorem.