Large deviations for renewal processes

Raphaël Lefevere, Mauro Mariani and Lorenzo Zambotti

Stochastic Processes and their Applications, 2011, vol. 121, issue 10, 2243-2271

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.

Keywords: Large; deviations; Renewal; process; Cumulative; process; Heavy; tails (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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