In neuroscience, the time elapsed since the last discharge has been used to predict the probability of the next discharge. Such predictions can be improved taking into account the last two discharge times, and possibly more. Such multi-time processes arise in many other areas and there is no universal limitation on the number of times to be used. This observation leads us to study the infinite-times renewal equation as a simple model to understand the meaning and properties of such partial differential equations depending on an infinite number of variables. We define two notions of solutions, prove existence and uniqueness of solutions, possibly measures. We also prove the long time convergence, with exponential rate, to the steady state in different, strong or weak, topologies depending on assumptions on the coefficients.