Large deviation principles for the processes admitting embedded compound renewal processes
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For a stochastic process \(X(t)\) with trajectories space of functions without discontinuities of the second kind and right continuous and admitting embedded compound renewal processes (CRP), this paper establishes first the large deviation principle (LDP) for the normalized process \(x_T=X(T)/T\) and then a trajectory moderate deviation principle in the Cramér case as well as in the so-called semiexponential case is derived. These results are used to study large deviations for the trajectories of a periodic CRP with delay and a semi-Markov CRP.
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Cites work
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- Large deviation principles for trajectories of compound renewal processes. I
- Large deviation principles for trajectories of compound renewal processes. II
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Cited in
(9)- Anscombe-type theorem and moderate deviations for trajectories of a 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
- Large deviation principles for trajectories of compound renewal processes. I
- Large deviation principles for trajectories of compound renewal processes. II
- On exact large deviation principles for compound renewal processes
- Extension of the invariance principle for compound renewal processes to the zones of moderately large and small deviations
- Large deviation principle for a stochastic process with random reinforced relocations
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