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On asymptotic behaviour of probabilities of
small deviations for compound Cox processes
Andrei N. Frolov Department of Mathematics and Mechanics, St.Petersburg University, Universitetskii prosp. 28, Stary Peterhof, St. Petersburg, 198504, Russia
Аннотация:
We derive logarithmic asymtotics for probabilities of small deviations for compound
Cox processes in the space of trajectories. We find conditions under which these
asymptotics are the same as those for sums of independent identically distributed
random variables and homogeneous processes with independent increments. We show
that if these conditions do not hold, the asymptotics of small deviations for compound
Cox processes are quite different.
Ключевые слова:
Malliavin Calculus, martingale-valued measure, Skorokhod integral, Clark-
Ocone formula.
Образец цитирования:
Andrei N. Frolov, “On asymptotic behaviour of probabilities of
small deviations for compound Cox processes”, Theory Stoch. Process., 14(30):2 (2008), 19–27
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp140 https://www.mathnet.ru/rus/thsp/v14/i2/p19
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Страница аннотации: | 78 | PDF полного текста: | 32 | Список литературы: | 20 |
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