The method of stochastic exponentials for large deviations (Q1343593)
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scientific article; zbMATH DE number 713916
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| English | The method of stochastic exponentials for large deviations |
scientific article; zbMATH DE number 713916 |
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The method of stochastic exponentials for large deviations (English)
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14 May 1995
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A method for proving the large deviation principle for processes with paths in the Skorokhod space is presented. This method is analogous to the method of stochastic exponentials in weak convergence. It is applied to derive new results on large deviations for semimartingales as well as for processes with independent increments.
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exponential tightness
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Cramér condition
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large deviation principle
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stochastic exponentials in weak convergence
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large deviations for semimartingales
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processes with independent increments
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0.8167350888252258
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0.8097904324531555
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0.8073746562004089
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