Functional large deviation principles for first-passage-time processes

DOI10.1214/aoap/1034625336zbMath0885.60023OpenAlexW1995674113MaRDI QIDQ1364392

Anatolii A. Puhalskii, Ward Whitt

Publication date: 20 April 1998

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1034625336

zbMATH Keywords

stochastic approximationlarge deviationsmathematical financeconvergence in probabilityfirst-passage timesuperpositions of renewal processes

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Generalizations of martingales (60G48) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Renewal theory (60K05)

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