Rare Events for Stationary Processes

François Baccelli (1) , D. R. Mcdonald

1 MISTRAL - Modeling of Computer Systems and Telecommunication Networks : Research and Software Development

Kielson (1979) and Aldous (1989) have given expressions for the asymptotics of the mean time until a rare event occurs. Here we extend these results beyond the Markovian setting using the theory for stationary point processes. We introduce two notions of asymptotic exponentiality and asymptotic independence and we study their implications on the asymptotics of the mean value of this hitting time under various probability measures.

Mots clés: RARE EVENT; STATIONARY POINT PROCESS; EXCHANGE FORMULA

Domaines: Autre [cs.OH]

François Baccelli, D. R. Mcdonald. Rare Events for Stationary Processes. RR-3197, INRIA. 1997. ⟨inria-00073492⟩