Large deviations for renewal processes
Probability
2010-09-22 v2
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.
Cite
@article{arxiv.1009.2659,
title = {Large deviations for renewal processes},
author = {Raphael Lefevere and Mauro Mariani and Lorenzo Zambotti},
journal= {arXiv preprint arXiv:1009.2659},
year = {2010}
}