Electronic Communications in Probability

A renewal version of the Sanov theorem

Mauro Mariani and Lorenzo Zambotti

Full-text: Open access

Abstract

Large deviations for the local time of a process $X_i$ are investigated, where $X_i=x_i$ for $t∈[S_{i-1},S_i[$ and $(x_j)$ are i.i.d. random variables on a Polish space, S_j is the $j$-th arrival time of a renewal process depending on $(x_j)$. No moment conditions are assumed on the arrival times of the renewal process.

Article information

Source
Electron. Commun. Probab., Volume 19 (2014), paper no. 69, 13 pp.

Dates
Accepted: 8 October 2014
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465316771

Digital Object Identifier
doi:10.1214/ECP.v19-3325

Mathematical Reviews number (MathSciNet)
MR3269169

Zentralblatt MATH identifier
1307.60121

Subjects
Primary: 60K05: Renewal theory
Secondary: 60F10: Large deviations

Keywords
Large deviations Renewal processes Sanov Theorem Heavy tails

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Mariani, Mauro; Zambotti, Lorenzo. A renewal version of the Sanov theorem. Electron. Commun. Probab. 19 (2014), paper no. 69, 13 pp. doi:10.1214/ECP.v19-3325. https://projecteuclid.org/euclid.ecp/1465316771


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