SAMPLE PATH LARGE DEVIATIONS FOR LÉVY PROCESSES AND RANDOM WALKS WITH REGULARLY VARYING INCREMENTS
SAMPLE PATH LARGE DEVIATIONS FOR LÉVY PROCESSES AND RANDOM WALKS WITH REGULARLY VARYING INCREMENTS
About this item
Full title
Author / Creator
Publisher
Institute of Mathematical Statistics
Journal title
Language
English
Formats
Publication information
Publisher
Institute of Mathematical Statistics
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Scope and Contents
Contents
Let X be a Lévy process with regularly varying Lévy measure ν. We obtain sample-path large deviations for scaled processes X̄n
(t)
X
¯
n
(
t
)
≜
X
(
n
t
)
/
n
and obtain a similar result for random walks with regularly varying increments. Our results yield detailed asymptotic estimates in scenarios wh...
Alternative Titles
Full title
SAMPLE PATH LARGE DEVIATIONS FOR LÉVY PROCESSES AND RANDOM WALKS WITH REGULARLY VARYING INCREMENTS
Authors, Artists and Contributors
Author / Creator
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Primary Identifiers
Record Identifier
TN_cdi_crossref_primary_10_1214_18_AOP1319
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1214_18_AOP1319
Other Identifiers
ISSN
0091-1798
E-ISSN
2168-894X
DOI
10.1214/18-AOP1319
