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Sibirskii Matematicheskii Zhurnal, 2013, Volume 54, Number 2, Pages 286–297
(Mi smj2420)
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This article is cited in 10 scientific papers (total in 10 papers)
Inequalities and principles of large deviations for the trajectories of processes with independent increments
A. A. Borovkov, A. A. Mogul'skiĭ Sobolev Institute of Mathematics, Novosibirsk, Russia
Abstract:
We consider a homogeneous process $S(t)$ on $[0,\infty)$ with independent increments, establish the local and ordinary large deviation principles for the trajectories of the processes $s_T(t):=\frac1TS(tT)$, $t\in[0,1]$, as $T\to\infty$, and obtain a series of inequalities for the distributions of the trajectories of $S(t)$.
Keywords:
process with independent increments, Cramer's condition, function of deviations, large deviation principle (LDP), local large deviation principle (local LDP), Chebyshev-type inequality, convex set.
Received: 15.06.2012
Citation:
A. A. Borovkov, A. A. Mogul'skiǐ, “Inequalities and principles of large deviations for the trajectories of processes with independent increments”, Sibirsk. Mat. Zh., 54:2 (2013), 286–297; Siberian Math. J., 54:2 (2013), 217–226
Linking options:
https://www.mathnet.ru/eng/smj2420 https://www.mathnet.ru/eng/smj/v54/i2/p286
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Abstract page: | 450 | Full-text PDF : | 160 | References: | 78 | First page: | 5 |
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