A renewal version of the Sanov theorem

Large deviations for the local time of a process Xt are investigated, where Xt = xi for t ∈ [Si−1, Si[ and (xj) are i.i.d. random variables on a Polish space, Sj is the j-th arrival time of a renewal process depending on (xj). No moment conditions are assumed on the arrival times of the renewal proc...

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Bibliographic Details
Published inElectronic communications in probability Vol. 19; no. none; pp. 1 - 13
Main Authors Mariani, Mauro, Zambotti, Lorenzo
Format Journal Article
LanguageEnglish
Published Institute of Mathematical Statistics (IMS) 08.10.2014
Subjects
Mathematics
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Summary:Large deviations for the local time of a process Xt are investigated, where Xt = xi for t ∈ [Si−1, Si[ and (xj) are i.i.d. random variables on a Polish space, Sj is the j-th arrival time of a renewal process depending on (xj). No moment conditions are assumed on the arrival times of the renewal process.
ISSN:1083-589X
1083-589X
DOI:10.1214/ECP.v19-3325