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Sibirskii Matematicheskii Zhurnal, 2011, Volume 52, Number 4, Pages 777–795 (Mi smj2238)  

This article is cited in 10 scientific papers (total in 10 papers)

Properties of a functional of trajectories which arises in studying the probabilities of large deviations of random walks

A. A. Borovkov, A. A. Mogul'skiĭ

Sobolev Institute of Mathematics, Novosibirsk, Russia
References:
Abstract: The deviation functional (or integral) describes the logarithmic asymptotics of the probabilities of large deviations of trajectories of the random walks generated by the sums of random variables (vectors) (see [1, 2] for instance). In this article we define it on a broader function space than previously and under weaker assumptions on the distributions of jumps of the random walk. The deviation integral turns out the Darboux integral $\int F(t,u)$ of a semiadditive interval function $F(t,u)$ of a particular form. We study the properties of the deviation integral and use the results elsewhere in [3] to prove some generalizations of the large deviation principle established previously under rather restrictive assumptions.
Keywords: Cramér condition, deviation function, random walk, deviation functional, deviation integral, variation of a function, semiadditive function, Darboux integral.
Received: 23.03.2011
English version:
Siberian Mathematical Journal, 2011, Volume 52, Issue 4, Pages 612–627
DOI: https://doi.org/10.1134/S0037446611040069
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: A. A. Borovkov, A. A. Mogul'skiǐ, “Properties of a functional of trajectories which arises in studying the probabilities of large deviations of random walks”, Sibirsk. Mat. Zh., 52:4 (2011), 777–795; Siberian Math. J., 52:4 (2011), 612–627
Citation in format AMSBIB
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\paper Properties of a~functional of trajectories which arises in studying the probabilities of large deviations of random walks
\jour Sibirsk. Mat. Zh.
\yr 2011
\vol 52
\issue 4
\pages 777--795
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\transl
\jour Siberian Math. J.
\yr 2011
\vol 52
\issue 4
\pages 612--627
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  • This publication is cited in the following 10 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Сибирский математический журнал Siberian Mathematical Journal
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    References:61
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