IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v163y2023icp85-105.html
   My bibliography  Save this article

Asymptotic deviation bounds for cumulative processes

Author

Listed:
  • Cattiaux, Patrick
  • Colombani, Laetitia
  • Costa, Manon

Abstract

The aim of this paper is to get asymptotic deviation bounds via a Large Deviation Principle (LDP) for cumulative processes also known as compound renewal processes or renewal-reward processes. These processes cumulate independent random variables occurring in time interval given by a renewal process. Our result extends the one obtained in Lefevere et al. (2011) in the sense that we impose no specific dependency between the cumulated random variables and the renewal process and the proof uses Mariani and Zambotti (2014). In the companion paper Cattiaux et al. (2022) we apply this principle to Hawkes processes with inhibition. Under some assumptions Hawkes processes are indeed cumulative processes, but they do not enter the framework of Lefevere et al. (2011).

Suggested Citation

  • Cattiaux, Patrick & Colombani, Laetitia & Costa, Manon, 2023. "Asymptotic deviation bounds for cumulative processes," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 85-105.
  • Handle: RePEc:eee:spapps:v:163:y:2023:i:c:p:85-105
    DOI: 10.1016/j.spa.2023.05.010
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414923001114
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.spa.2023.05.010?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Tiefeng, Jiang, 1994. "Large deviations for renewal processes," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 57-71, March.
    2. Lefevere, Raphaël & Mariani, Mauro & Zambotti, Lorenzo, 2011. "Large deviations for renewal processes," Stochastic Processes and their Applications, Elsevier, vol. 121(10), pages 2243-2271, October.
    3. Glynn, Peter W. & Whitt, Ward, 1993. "Limit theorems for cumulative processes," Stochastic Processes and their Applications, Elsevier, vol. 47(2), pages 299-314, September.
    4. Zamparo, Marco, 2021. "Large deviations in discrete-time renewal theory," Stochastic Processes and their Applications, Elsevier, vol. 139(C), pages 80-109.
    5. Cattiaux, Patrick & Colombani, Laetitia & Costa, Manon, 2022. "Limit theorems for Hawkes processes including inhibition," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 404-426.
    6. Zamparo, Marco, 2023. "Large deviation principles for renewal–reward processes," Stochastic Processes and their Applications, Elsevier, vol. 156(C), pages 226-245.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zamparo, Marco, 2023. "Large deviation principles for renewal–reward processes," Stochastic Processes and their Applications, Elsevier, vol. 156(C), pages 226-245.
    2. Mercuri, Lorenzo & Perchiazzo, Andrea & Rroji, Edit, 2024. "A Hawkes model with CARMA(p,q) intensity," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 1-26.
    3. Bashtova, Elena & Shashkin, Alexey, 2022. "Strong Gaussian approximation for cumulative processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 1-18.
    4. Ohad Perry & Ward Whitt, 2013. "A Fluid Limit for an Overloaded X Model via a Stochastic Averaging Principle," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 294-349, May.
    5. Sepehrifar, Mohammad B. & Khorshidian, Kavoos & Jamshidian, Ahmad R., 2015. "On renewal increasing mean residual life distributions: An age replacement model with hypothesis testing application," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 117-122.
    6. Zamparo, Marco, 2021. "Large deviations in discrete-time renewal theory," Stochastic Processes and their Applications, Elsevier, vol. 139(C), pages 80-109.
    7. Dragan Radulović, 2004. "Renewal type bootstrap for Markov chains," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 13(1), pages 147-192, June.
    8. Jeffrey P. Kharoufeh & Dustin G. Mixon, 2009. "On a Markov‐modulated shock and wear process," Naval Research Logistics (NRL), John Wiley & Sons, vol. 56(6), pages 563-576, September.
    9. Jeffrey Kharoufeh & Steven Cox & Mark Oxley, 2013. "Reliability of manufacturing equipment in complex environments," Annals of Operations Research, Springer, vol. 209(1), pages 231-254, October.
    10. Ward Whitt, 2016. "Heavy-traffic fluid limits for periodic infinite-server queues," Queueing Systems: Theory and Applications, Springer, vol. 84(1), pages 111-143, October.
    11. Cattiaux, Patrick & Colombani, Laetitia & Costa, Manon, 2022. "Limit theorems for Hawkes processes including inhibition," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 404-426.
    12. Glynn, Peter W. & Whitt, Ward, 2002. "Necessary conditions in limit theorems for cumulative processes," Stochastic Processes and their Applications, Elsevier, vol. 98(2), pages 199-209, April.
    13. Aur'elien Alfonsi, 2023. "Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation," Papers 2302.07758, arXiv.org, revised Oct 2024.
    14. Manish Meena & Hrishikesh Kumar & Nitin Dutt Chaturvedi & Andrey A. Kovalev & Vadim Bolshev & Dmitriy A. Kovalev & Prakash Kumar Sarangi & Aakash Chawade & Manish Singh Rajput & Vivekanand Vivekanand , 2023. "Biomass Gasification and Applied Intelligent Retrieval in Modeling," Energies, MDPI, vol. 16(18), pages 1-21, September.
    15. Jeffrey Collamore & Andrea Höing, 2007. "Small-time ruin for a financial process modulated by a Harris recurrent Markov chain," Finance and Stochastics, Springer, vol. 11(3), pages 299-322, July.
    16. Pokalyuk, Cornelia & Mathew, Lisha A. & Metzler, Dirk & Pfaffelhuber, Peter, 2013. "Competing islands limit the rate of adaptation in structured populations," Theoretical Population Biology, Elsevier, vol. 90(C), pages 1-11.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:163:y:2023:i:c:p:85-105. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.