Large deviations asymptotics for large waiting times

Mathematics – Probability

Scientific paper

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11 pages, 3 figures

Scientific paper

In this paper we investigate the statistics of large waiting times (with
respect to the total waiting time) for Bernoulli processes. We determine the
corresponding rate functions explicitly and prove a large deviations
asymptotic. By this we have estabished a large deviation principle for which
the rate function is not the Legendre transform of some free energy function.

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