Large deviation principles for renewal-reward processes
arXiv:2111.01679 · doi:10.1016/j.spa.2022.11.009
Abstract
We establish a sharp large deviation principle for renewal-reward processes, supposing that each renewal involves a broad-sense 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 renewal-reward processes, which leads to a full large deviation principle.