Asymptotic deviation bounds for cumulative processes

Patrick Cattiaux, Laetitia Colombani and Manon Costa

Stochastic Processes and their Applications, 2023, vol. 163, issue C, 85-105

Abstract: The aim of this paper is to get asymptotic deviation bounds via a Large Deviation Principle (LDP) for cumulative processes also known as compound renewal processes or renewal-reward processes. These processes cumulate independent random variables occurring in time interval given by a renewal process. Our result extends the one obtained in Lefevere et al. (2011) in the sense that we impose no specific dependency between the cumulated random variables and the renewal process and the proof uses Mariani and Zambotti (2014). In the companion paper Cattiaux et al. (2022) we apply this principle to Hawkes processes with inhibition. Under some assumptions Hawkes processes are indeed cumulative processes, but they do not enter the framework of Lefevere et al. (2011).

Keywords: Cumulative processes; Large deviation; Deviation inequalities; Hawkes processes (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spa.2023.05.010

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