Large deviations of semimartingales via convergence of the predictable characteristics

DOI10.1080/17442509408833911zbMath0827.60017OpenAlexW1978727707MaRDI QIDQ4849121

Anatolii A. Puhalskii

Publication date: 26 November 1995

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509408833911

zbMATH Keywords

semimartingaleslarge deviation principleSkorokhod topologypredictable characteristicsweak convergence for rate functions

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Large deviations (60F10)

Related Items (27)

Averaging principle of SDE with small diffusion: Moderate deviations ⋮ Densities of idempotent measures and large deviations ⋮ Moderate deviations for stationary sequences of bounded random variables ⋮ The method of stochastic exponentials for large deviations ⋮ Moderate deviations of functional of Markov Processes ⋮ Moderate deviation principle in nonlinear bifurcating autoregressive models ⋮ Large deviation analysis of the single server queue ⋮ Estimation of the realized (co-)volatility vector: large deviations approach ⋮ Moderate deviation principle of modularity in network ⋮ Moderate deviation principles for the trajectories of inhomogeneous random walks ⋮ Large deviations for Lévy diffusions in the small noise regime ⋮ Asymptotic properties for M-estimators in linear models with dependent random errors ⋮ Moderate deviation principle for Brownian motions on the unit sphere in \(\mathbb R^d\) ⋮ STABILITY IN QUEUEING NETWORKS VIA THE FINITE DECOMPOSITION PROPERTY ⋮ The Kramers problem for SDEs driven by small, accelerated Lévy noise with exponentially light jumps ⋮ Moderate deviations for stationary sequences of Hilbert-valued bounded random variables ⋮ Large and moderate deviations for the left random walk on GL d (R) ⋮ Moderate deviations for linear processes generated by martingale-like random variables ⋮ On stochastic setting of stationary phase method ⋮ Large deviation properties of constant rate data streams sharing a buffer with long-range dependent traffic in critical loading ⋮ Sample path large deviations for multiclass feedforward queueing networks in critical loading ⋮ Large deviation probabilities in estimation of Poisson random measures ⋮ Unnamed Item ⋮ Functional law of iterated logarithm for additive functionals of reversible Markov processes ⋮ Moderate deviations for randomly perturbed dynamical systems ⋮ Martingale problems for large deviations of Markov processes ⋮ Moderate deviations for martingale differences and applications to φ -mixing sequences

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large deviations for a general class of random vectors
• Random capacities and their distributions
• Large deviations for diffusion processes with homogenization and applications
• Theory of capacities
• Laws of the iterated logarithm and large deviations for a class of diffusionl processes
• Large Deviations for Trajectories of Multi-Dimensional Random Walks
• On Large Deviations from the Invariant Measure
• Asymptotic probabilities and differential equations
• Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces
• Convex Analysis
• Large deviations for processes with independent increments
• Large deviations for processes with independent increments

This page was built for publication: Large deviations of semimartingales via convergence of the predictable characteristics