Large deviations for renewal processes
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Publication:5895024
Abstract: We investigate large deviations for the empirical measure of the forward and backward recurrence time processes associated with a classical renewal process with arbitrary waiting-time distribution. The Donsker-Varadhan theory cannot be applied in this case, and indeed it turns out that the large deviations rate functional differs from the one suggested by such a theory. In particular, a non-strictly convex and non-analytic rate functional is obtained.
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(32)- Large deviations for the empirical measure of heavy-tailed Markov renewal processes
- Large deviation principles for renewal-reward processes
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