Uniform convergence of exact large deviations for renewal reward processes
type: Item
instance of: scholarly article
title: Uniform convergence of exact large deviations for renewal reward processes
zbMATH Open document ID: 1129.60029
DOI: 10.1214/105051607000000023
author: Zhiyi Chi
published in: The Annals of Applied Probability
publication date: 2007-10-17T00:00:00Z
full work available at URL: https://arxiv.org/abs/0707.4596
review text: Let \((X_n , Y_n)\) be i.i.d. random variables in \(\mathbb{R}^2\). Denote \( S_n = \sum_1^n X_k , \;N(x) = \max \{ n : \max_{1\leq k\leq n} S_k \leq x \}\) and \(W(x) = \sum_1^{N(x)} Y_k \). In this article the author proves the uniform exact large deviations principle for the random sum \(W(x)\), namely \[ \sup_{t\in J} | a(t,x)P( W(x)\geq tx) -1 | =o(1), \quad x\rightarrow \infty , \] (with \(J\) being an open interval and \(a(t,x)\) a certain deterministic function) for cases where \(X_n\) has a subcomponent with a smooth density and \(Y_n\) is not a linear transform of \(X_n\).
reviewed by: Elisaveta Pancheva
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 5201572
zbMATH Keywords: large deviations
zbMATH Keywords: renewal reward processes
zbMATH Keywords: continuous-time random walk
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W3104781480
arXiv ID: 0707.4596
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description: scientific article