Large deviations for a damped telegraph process

DOI10.1007/978-3-319-06653-0_17MaRDI QIDQ3193134zbMATH OpenOpenAlexFDO

Authors Alessandro De Gregorio, Claudio Macci

Publication date 15 October 2015

Published in EAA Series (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.7332

zbMATH Keywords

damped telegraph processlarge deviations

Mathematics Subject Classification ID

Large deviations (60F10) Markov renewal processes, semi-Markov processes (60K15)

Abstract: In this paper we consider a slight generalization of the damped telegraph process in Di Crescenzo and Martinucci (2010). We prove a large deviation principle for this process and an asymptotic result for its level crossing probabilities (as the level goes to infinity). Finally we compare our results with the analogous well-known results for the standard telegraph process.

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Cited in

(6)

• Probabilistic analysis of systems alternating for state-dependent dichotomous noise
• Large deviations for some non-standard telegraph processes
• On the damped geometric telegrapher's process
• Large deviations of Poisson Telecom processes
• Ruin probabilities of small noise jump‐diffusions with heavy tails
• Large deviation principles for telegraph processes

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