FUNCTIONAL LARGE DEVIATION PRINCIPLES FOR FIRST-PASSAGE-TIME PROCESSES
成果类型：
Article
署名作者：
Puhalskii, Anatolii A.; Whitt, Ward
署名单位：
Nokia Corporation; Nokia Bell Labs; AT&T
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1034625336
发表日期：
1997
页码：
362-381
关键词：
摘要：
We apply an extended contraction principle and superexponential convergence in probability to show that a functional large deviation principle for a sequence of stochastic processes implies a corresponding functional large deviation principle for an associated sequence of first-passage-time or inverse processes. Large deviation principles are established for both inverse processes and centered inverse processes, based on corresponding results for the original process. We apply these results to obtain functional large deviation principles for renewal processes and superpositions of independent renewal processes.
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