The second rate function and the asymptotic problems of renewal and hitting the boundary for multidimensional random walks
Let \(\xi\) be a nondegenerate random vector in the \(d\)-dimensional Euclidean space \(R^d\), \(d\geq 1\), with distribution \(F\). The Laplace transform of \(\xi\) is defined by \(\varphi(\lambda)=\int e^{\langle\lambda, v\rangle}F(dv)\), \(\lambda\in R^d\), where \(\langle\cdot,\cdot\rangle\) is the inner product in \(R^d\). The deviation function (in the context of large deviations) for \(\xi\), or its distribution \(F\), is defined to be the Legendre transform \(\Lambda(\alpha)\) of the function \(A(\lambda)=\ln\varphi(\lambda)\): \[ \Lambda(\alpha)=\sup_\lambda\{\langle\lambda,\alpha\rangle- \ln\varphi(\lambda)\},\quad \alpha\in R^d. \] The deviation function plays a crucial role in the investigation of large deviation probabilities for sums \(S_n=\xi_1+\xi_2+\cdots+\xi_n\), where \(\xi_i\) are independent and distributed as \(\xi\). The second deviation function (second rate function) is defined by \[ D(\alpha)=\inf_{s>0}(\Lambda(s\alpha)/s),\quad \alpha\in R^d. \] This function is important in the study of the renewal function \(H(V)=\sum_{n=1}^\infty {\mathbf P}(S_n\in V)\). The large deviation principle for \(H(V)\) is established and asymptotic expansions are found for \(H(tV)\) as \(t\to\infty\). Another goal of the article is to study the properties of the second deviation function \(D(\alpha)\) necessary for the analysis of \(H(V)\) and the related boundary-hitting functions.
- scientific article; zbMATH DE number 1323348
- Stability theorems and the second-order asymptotics in threshold phenomena for boundary functionals of random walks
- scientific article; zbMATH DE number 4157616
- scientific article; zbMATH DE number 5138740
- Limit theorems in the boundary hitting problem for a multidimensional random walk
- Renewal theorems for random walks in multidimensional time
- Some renewal theorems for random walks in multidimensional time
- A Renewal Theorem for Random Walks in Multidimensional Time
- Renewal theorems for random walk with multidimensional time
- scientific article; zbMATH DE number 3911432
- An Analogue of the Renewal Theorem in Higher Dimensions
- An Estimate of the Remainder Term in Limit Theorems of Renewal Theory
- Asymptotic behaviour of Wiener-Hopf factors of a random walk
- Asymptotics of Renewal Functions
- Banach algebra methods in renewal theory
- Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces
- scientific article; zbMATH DE number 410740 (Why is no real title available?)
- scientific article; zbMATH DE number 3635264 (Why is no real title available?)
- scientific article; zbMATH DE number 3433322 (Why is no real title available?)
- scientific article; zbMATH DE number 3255204 (Why is no real title available?)
- scientific article; zbMATH DE number 3255361 (Why is no real title available?)
- scientific article; zbMATH DE number 3306388 (Why is no real title available?)
- scientific article; zbMATH DE number 3322619 (Why is no real title available?)
- scientific article; zbMATH DE number 3332028 (Why is no real title available?)
- Large-Deviation Probabilities for One-Dimensional Markov ChainsPart 1: Stationary Distributions
- On Characteristic Functions and Renewal Theory
- On Deviations of the Sample Mean
- On Multidimensional Concentration Functions
- On the Cramér transform, large deviations in boundary value problems, and the conditional invariance principle
- On the limit conditional distributions connected with large deviations
- Renewal Theory in the Plane
- Renewal theory in two dimensions: asymptotic results
- The critical case of the Cramer-Lundberg theorem on the asymptotic tail behavior of the maximum of a negative drift random walk
- Integro-local limit theorems for compound renewal processes under Cramér's condition. II
- Integro-local theorems for multidimensional compound renewal processes, when Cramer's condition holds. I
- Integro-local limit theorems for compound renewal processes under Cramér's condition. I
- Light tail asymptotics in multidimensional reflecting processes for queueing networks
- The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process: the Cramér case
- Local theorems for (multidimensional) additive functionals of semi-Markov chains
- Characterization of large deviation probabilities for regenerative sequences
- First exit time for a discrete-time parallel queue
- Local theorems for finite-dimensional increments of compound multidimensional arithmetic renewal processes with light tails
- The rate function and the fundamental function for multidimensional compound renewal process
- Large deviation principle for multidimensional first compound renewal processes in the phase space
- Large deviation principle for multidimensional second compound renewal processes in the phase space
- Large deviation principles for the finite-dimensional distributions of compound renewal processes
- Local theorems for arithmetic compound renewal processes when Cramer's condition holds
- Large deviation principles for sums of random vectors and the corresponding renewal functions in the inhomogeneous case
- Large deviation principles in boundary problems for compound renewal processes
- scientific article; zbMATH DE number 3911432 (Why is no real title available?)
- A superharmonic vector for a nonnegative matrix with QBD block structure and its application to a Markov-modulated two-dimensional reflecting process
- Large deviations for a terminating compound renewal process
- Local theorems for arithmetic multidimensional compound renewal processes under Cramér's condition
- The exact asymptotics of the large deviation probabilities in the multivariate boundary crossing problem
- On a Property of the Legendre Transform
- Принцип больших уклонений для конечномерных распределений многомерных обобщенных процессов восстановления
- On the large deviations rate function for symmetric simple random walk in dimension \(d \in \mathbb{Z}_+\)
- Generalized Poland-Scheraga denaturation model and two-dimensional renewal processes
This page was built for publication: The second rate function and the asymptotic problems of renewal and hitting the boundary for multidimensional random walks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1358014)
