On exact large deviation principles for compound renewal processes

DOI10.1137/S0040585X97T990332MaRDI QIDQ5005705zbMATH OpenOpenAlexFDO

Authors A. A. Borovkov

Publication date 10 August 2021

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97t990332

zbMATH Keywords

deviation functionalexact large deviation principleextended large deviation principlelarge deviation principlemost probable trajectoryrandom walks

Mathematics Subject Classification ID

Large deviations (60F10) Renewal theory (60K05)

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Cites work

• Asymptotic Analysis of Random Walks: Light-Tailed Distributions
• Boundary crossing problems for compound renewal processes
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• Large deviation principles for random walk trajectories. III
• Large deviations for stochastic processes.
• Расширенный принцип больших уклонений для траекторий обобщенного процесса восстановления

Cited in

(13)

• On the optimality of strong approximation rates for compound renewal processes
• A new representation for a renewal-theoretic constant appearing in asymptotic approximations of large deviations
• Exact results and bounds for the joint tail and moments of the recurrence times in a renewal process
• On the existence conditions for exact large deviation principles
• Large deviation principles for the processes admitting embedded compound renewal processes
• Large deviation principles for the finite-dimensional distributions of compound renewal processes
• Finite-size corrections to Poisson approximations of rare events in renewal processes
• Large deviation principles for trajectories of compound renewal processes. I
• Large deviation principles for trajectories of compound renewal processes. II
• Some familiar examples for which the large deviation principle does not hold
• Chebyshev-type inequalities and large deviation principles
• Large deviations for heavy-tailed random sums in compound renewal model
• On Chung's LIL and Csáki's law for renewal processes

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