A large-deviation result for regenerative processes
Let \(\{(X_ i,Y_ i)\}\) denote a sequence of i.i.d. r.v.s in \(Z^ 2\) with finite first \(\mu_ 1,\mu_ 2\) and second moments; let \(\tau_ n\) denote the time of the first regeneration after time \(n\) and \(S_ n=(S_ n^{(1)},S^{(2)}_ n)=\sum^ n_{i=1}(X_ i,Y_ i)\). The authors show under certain conditions of Cramèr type that there exists a neighborhood \(N=N(\mu_ 1/\mu_ 2)\) such that for \(a\in N\) \[ P(S^{(1)}_{\tau_ n}\geq an)\sim c_ 1\hbox{exp}(-c_ 2n)/\sqrt n,\quad c_ i>0, \] and an analogous result for \(P(S^{(1)}_{\tau_ n}\leq an)\). Their approach is to imbed the p.d. of \((X_ 1,Y_ 1)\) into an exponential family and then to choose an appropriate number.
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