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Teoriya Veroyatnostei i ee Primeneniya, 2002, Volume 47, Issue 4, Pages 727–746
DOI: https://doi.org/10.4213/tvp3777
(Mi tvp3777)
 

This article is cited in 18 scientific papers (total in 18 papers)

The large deviation principle for stochastic processes. I

M. A. Arcones

State University of New York, Department of Mathematical Sciences
Abstract: We discuss the large deviation principle of stochastic processes as random elements of $l_{\infty}(T)$. We show that the large deviation principle in $l_{\infty}(T)$ is equivalent to the large deviation principle of the finite dimensional distributions plus an exponential asymptotic equicontinuity condition with respect to a pseudometric, which makes $T$ a totally bounded pseudometric space. This result allows us to obtain necessary and sufficient conditions for the large deviation principle of different types of stochastic processes. We discuss the large deviation principle of Gaussian and Poisson processes. As an application, we determine the integrability of the iterated fractional Brownian motion.
Keywords: large deviations, stochastic processes, Gaussian processes, iterated Brownian motion, Poisson process.
Received: 05.04.2001
English version:
Theory of Probability and its Applications, 2003, Volume 47, Issue 4, Pages 567–583
DOI: https://doi.org/10.1137/S0040585X97980038
Bibliographic databases:
Document Type: Article
Language: English
Citation: M. A. Arcones, “The large deviation principle for stochastic processes. I”, Teor. Veroyatnost. i Primenen., 47:4 (2002), 727–746; Theory Probab. Appl., 47:4 (2003), 567–583
Citation in format AMSBIB
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\transl
\jour Theory Probab. Appl.
\yr 2003
\vol 47
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\pages 567--583
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Linking options:
  • https://www.mathnet.ru/eng/tvp3777
  • https://doi.org/10.4213/tvp3777
  • https://www.mathnet.ru/eng/tvp/v47/i4/p727
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    This publication is cited in the following 18 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Теория вероятностей и ее применения Theory of Probability and its Applications
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