A. A. Borovkov, “Large deviation principles in boundary problems for compound renewal processes”, Sibirsk. Mat. Zh., 2016, Volume 57, Number 3,Pages <nobr>562

This article is cited in 12 papers

Large deviation principles in boundary problems for compound renewal processes

A. A. Borovkov^ab

^a Novosibirsk State University, Novosibirsk, Russia
^b Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences, Novosibirsk, Russia

Abstract: We find explicit logarithmic asymptotics for the probability of events related to the intersection (or nonintersection) of arbitrary remote boundaries by the trajectory of a compound renewal process.

Keywords: compound renewal process, large deviation principle, boundary problem, second deviation function, admissible nonhomogeneity, regular deviation, shortest trajectory, first boundary problem, level curves, second boundary problem.

UDC: 519.21

Received: 22.01.2015

DOI: 10.17377/smzh.2016.57.306