Large deviations for renewal processes

Raphael Lefevere, Mauro Mariani, Lorenzo Zambotti

Published 2010-09-14, updated 2010-09-21Version 2

We investigate large deviations for the empirical measure of the forward and backward recurrence time processes associated with a classical renewal process with arbitrary waiting-time distribution. The Donsker-Varadhan theory cannot be applied in this case, and indeed it turns out that the large deviations rate functional differs from the one suggested by such a theory. In particular, a non-strictly convex and non-analytic rate functional is obtained.