Large deviations for renewal processes
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Publication:5895024
DOI10.1016/J.SPA.2011.06.005zbMATH Open1228.60035arXiv1009.2659OpenAlexW2052112956MaRDI QIDQ5895024FDOQ5895024
Authors: Mauro Mariani, L. Zambotti, Raphaël Lefevere 
Publication date: 10 October 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1009.2659
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Cited In (32)
- Large deviation principles for renewal-reward processes
- A large deviation perspective on ratio observables in reset processes: robustness of rate functions
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