The large deviation principle for the on-off Weibull sojourn process
This article proves that the on-off renewal process with Weibull sojourn times satisfies the large deviation principle on a nonlinear scale. Unusually, its rate function is not convex. Apart from on a compact set, the rate function is infinite, which enables us to construct natural processes that satisfy the large deviation principle with nontrivial rate functions on more than one time scale.
Permanent link to this document: http://projecteuclid.org/euclid.jap/1208358955
Digital Object Identifier: doi:10.1239/jap/1208358955
Mathematical Reviews number (MathSciNet): MR2409314
Zentralblatt MATH identifier: 1137.60012