Sample path large deviations for Lévy processes and random walks with Weibull increments (Q2240472)
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English | Sample path large deviations for Lévy processes and random walks with Weibull increments |
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Sample path large deviations for Lévy processes and random walks with Weibull increments (English)
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4 November 2021
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The current paper focuses on extended large deviations principles (LDP) for Lévy processes and random walks with heavy-tailed step size distribution. The authors prove an extended LDP in the \(\mathbb{J}_1\) topology for a suitable rate function for the processes under consideration. Their approach is based on a decomposition of the processes into the contribution arising from the \(k\) largest jumps in a Poisson process, and the remainder. The results are optimal and have several applications. In particular, one can apply the results in order to extend the classical Donsker-Varadhan LDP for unbounded functionals of Markov chains.
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heavy tails
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Lévy processes
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random walks
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sample path large deviations
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