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Sibirskii Matematicheskii Zhurnal, 2011, Volume 52, Number 4, Pages 777–795
(Mi smj2238)
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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
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
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
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https://www.mathnet.ru/eng/smj2238 https://www.mathnet.ru/eng/smj/v52/i4/p777
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Abstract page: | 509 | Full-text PDF : | 137 | References: | 61 | First page: | 1 |
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