Large deviations for fields with stationary independent increments (Q1343508)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Large deviations for fields with stationary independent increments |
scientific article |
Statements
Large deviations for fields with stationary independent increments (English)
0 references
6 November 1995
0 references
Consider a field \((\{x(t),t \subset R_ +^ d\}, D)\) with stationary independent increments with \(X(t) = 0\) for \(t\) on the axes and define \(Z_ n(t) = X(nt)/(n_ 1, \dots, n_ d)\) where \(n = (n_ 1, \dots, n_ d) > 0\) and \(nt = (n_ 1t_ 1, \dots, n_ dt_ d)\). The probability distribution \(P_ n\) of \(\{Z_ n(t), t \in [0,1]^ d\}\) can be considered to be a probability measure on \(D[0,1]^ d\) endowed with Skorokhod topology. Define \(J(a) : = \sup_{\theta \in R^ 1} (a \theta - \log \varphi (\theta))\) where \(\varphi (\theta) : = E e^{\theta X (1,1, \dots, 1)}\) which is assumed to be finite for \(\theta\) in the neighbourhood of 0. The author asserts that if \(\lim_{| a | \to \infty} (J(a)/ | a |) = \infty\), then \(\{P_ n\}\) satisfies the large deviation principle on \(D[0,1]^ d\). Also, if \(\{X(t), t \in R^ d_ +\}\) has no Gaussian component, then \(P_ n\) can be considered to be a probability measure on the space of finite signed Borel measures on \([0,1]^ d\) endowed with the weak convergence topology, on which \(\{P_ n\}\) satisfies the large deviation principle. Some general related results have also been proved.
0 references
independent increments
0 references
signed Borel measure
0 references
stationary independent increments
0 references
Skorokhod topology
0 references
large deviation principle
0 references
weak convergence topology
0 references