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On the large deviations of a class of modulated additive processes

Ken R. DuffyClaudio MacciGiovanni Luca Torrisi — 2011

ESAIM: Probability and Statistics

We prove that the large deviation principle holds for a class of processes inspired by semi-Markov additive processes. For the processes we consider, the sojourn times in the phase process need not be independent and identically distributed. Moreover the state selection process need not be independent of the sojourn times. We assume that the phase process takes values in a finite set and that the order in which elements in the set, called states, are visited is selected stochastically. The sojourn...

On the large deviations of a class of modulated additive processes

Ken R. DuffyClaudio MacciGiovanni Luca Torrisi — 2012

ESAIM: Probability and Statistics

We prove that the large deviation principle holds for a class of processes inspired by semi-Markov additive processes. For the processes we consider, the sojourn times in the phase process need not be independent and identically distributed. Moreover the state selection process need not be independent of the sojourn times. We assume that the phase process takes values in a finite set and that the order in which elements in the set, called states, are visited is selected stochastically. The sojourn...

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