Large deviation principles for renewalreward processes
Abstract
We establish a sharp large deviation principle for renewalreward processes, supposing that each renewal involves a broadsense reward taking values in a real separable Banach space. In fact, we demonstrate a weak large deviation principle without assuming any exponential moment condition on the law of waiting times and rewards by resorting to a sharp version of Cramér's theorem. We also exhibit sufficient conditions for exponential tightness of renewalreward processes, which leads to a full large deviation principle.
 Publication:

arXiv eprints
 Pub Date:
 November 2021
 arXiv:
 arXiv:2111.01679
 Bibcode:
 2021arXiv211101679Z
 Keywords:

 Mathematics  Probability;
 60F10;
 60K05;
 60K35