Sample-path large deviations for unbounded additive functionals of the reflected random walk

arXiv2003.14381MaRDI QIDQ6337809FDOQ6337809

Mihail Bazhba, Bert Zwart, Chang-Han Rhee, Jose Blanchet

Publication date: 31 March 2020

Abstract: We prove a sample path large deviation principle (LDP) with sub-linear speed for unbounded functionals of certain Markov chains induced by the Lindley recursion. The LDP holds in the Skorokhod space $mathbbD[0,T]$ equipped with the ${M_1}^{\prime }$ topology. Our technique hinges on a suitable decomposition of the Markov chain in terms of regeneration cycles. Each regeneration cycle denotes the area accumulated during the busy period of the reflected random walk. We prove a large deviation principle for the area under the busy period of the MRW, and we show that it exhibits a heavy-tailed behavior.

Mathematics Subject Classification ID

Large deviations (60F10) Sample path properties (60G17)

This page was built for publication: Sample-path large deviations for unbounded additive functionals of the reflected random walk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6337809)