Functional large deviation principles for first-passage-time processes
Earlier it was shown how convergence in distribution in the function space \(D (0, \infty)\) with one of the Skorokhod topologies for a sequence of stochastic processes \(\{X_n (t), n\geq 1\}\) is related to that of associated inverse processes \(\{X_n^{-1} (t), n \geq 1\}\), defined by \(X_n^{-1} (t)= \inf\{ s>0: X_n(s) >t\}\). The main purpose of this paper is to show that these results have fairly direct analogs in the large deviations context, with the contraction principle playing the role of the continuous mapping theorem in some sense and the so-called superexponential convergence in probability which plays the role with large deviation principle (LDP) that ordinary convergence in probability plays with weak convergence. On the other hand the results here about superexponential convergence in probability are at first used to obtain LDP's for centered first-passage-time processes and then for renewal processes and superpositions of renewal processes.
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