Large deviation principles for renewal-reward processes

DOI10.1016/J.SPA.2022.11.009MaRDI QIDQ2680396zbMATH OpenOpenAlexFDO

Authors Marco Zamparo

Publication date 2 January 2023

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

Full work available at URL https://arxiv.org/abs/2111.01679

zbMATH Keywords

Banach space valued random variablesCramér's theoremlarge deviationsrenewal processesrenewal-reward processes

Mathematics Subject Classification ID

Large deviations (60F10) Renewal theory (60K05) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Review text

Renewal models are widespread tools of probability that find application in Queueing Theory, Insurance, Finance, and Statistical Physics among others. In this paper, the author has established a large deviation principle for renewal-reward processes, supposing that each renewal involves a broad-sense reward taking values in a real separable Banach space. The main result is nice and interesting.

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Cited in

(17)

• Asymptotic distribution of rewards accumulated by alternating renewal processes
• Large deviations in discrete-time renewal theory
• Uniform convergence of exact large deviations for renewal reward processes
• A renewal version of the Sanov theorem
• The class of L ∩ D and its application to renewal reward process
• Statistical fluctuations under resetting: rigorous results
• Large deviations for renewal processes
• Large deviations for renewal processes
• Work fluctuations for a confined Brownian particle: the role of initial conditions
• Asymptotic deviation bounds for cumulative processes
• Large deviation principles for renewal-reward processes
• Quenched large deviations in renewal theory
• Limit theorems: some recent results
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• Precise large deviations through a uniform Tauberian theorem
• Large deviations: a survey on its theory and applications
• From uniform renewal theorem to uniform large and moderate deviations for renewal-reward processes

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