A renewal version of the Sanov theorem

Mauro Mariani (La Sapienza University of Rome)
Lorenzo Zambotti (Université Pierre et Marie Curie)

Abstract


Large deviations for the local time of a process X(t) are investigated, where X(t)=xi for t∈[Si-1,Si[ 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.

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Pages: 1-13

Publication Date: October 8, 2014

DOI: 10.1214/ECP.v19-3325

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