Asymptotic deviation bounds for cumulative processes

DOI10.1016/J.SPA.2023.05.010MaRDI QIDQ6171645zbMATH OpenOpenAlexFDO

Authors Patrick Cattiaux, Laetitia Colombani, Manon Costa

Publication date 14 August 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.07800

zbMATH Keywords

cumulative processesdeviation inequalitiesHawkes processeslarge deviation

Mathematics Subject Classification ID

Large deviations (60F10) Markov renewal processes, semi-Markov processes (60K15)

Abstract: The aim of this paper is to get asymptotic deviation bounds via a Large Deviation Principle (LDP) for cumulative processes also known as compound renewal processes or renewal-reward processes. These processes cumulate independent random variables occurring in time interval given by a renewal process. Our result extends the one obtained in Lefevere et al. (2011) in the sense that we impose no specific dependency between the cumulated random variables and the renewal process and the proof uses Mariani et al. (2014). In the companion paper Cattiaux-Costa-Colombani (2021) we apply this principle to Hawkes processes with inhibition. Under some assumptions Hawkes processes are indeed cumulative processes, but they do not enter the framework of Lefevere et al. (2011).

Recommendations

• Limit theorems for Hawkes processes including inhibition
• Large deviation principles for trajectories of compound renewal processes. I
• Large deviation principles for the finite-dimensional distributions of compound renewal processes
• Asymptotics for Hawkes processes with large and small baseline intensities
• Limit theorems for the compensator of Hawkes processes

Cites work

• A renewal version of the Sanov theorem
• Applied Probability and Queues
• Asymptotic Properties of Cumulative Processes
• How to estimate the rate function of a cumulative process
• Large deviation principles for renewal-reward processes
• Large deviation principles for the finite-dimensional distributions of compound renewal processes
• Large deviation principles for trajectories of compound renewal processes. I
• Large deviation principles for trajectories of compound renewal processes. II
• Large deviations for renewal processes
• Large deviations for renewal processes
• Large deviations in discrete-time renewal theory
• Large deviations techniques and applications.
• Limit theorems for cumulative processes
• Limit theorems for Hawkes processes including inhibition
• Regenerative stochastic processes
• Renewal in Hawkes processes with self-excitation and inhibition
• Spectra of some self-exciting and mutually exciting point processes

Cited in

(3)

• Large deviation principles for renewal-reward processes
• How to estimate the rate function of a cumulative process
• Limit theorems: some recent results

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