Large deviations for multidimensional state-dependent shot-noise processes

DOI10.1239/JAP/1450802755MaRDI QIDQ2794728zbMATH OpenOpenAlexWikidataFDO

Authors Pierre Nyquist, Amarjit Budhiraja

Publication date 11 March 2016

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.6651, https://projecteuclid.org/euclid.jap/1450802755

zbMATH Keywords

large deviationsPoisson random measuresample pathsvariational representationsPoisson shot-noise processes

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Random measures (60G57) Sample path properties (60G17)

Abstract: Shot noise processes are used in applied probability to model a variety of physical systems in, for example, teletraffic theory, insurance and risk theory and in the engineering sciences. In this work we prove a large deviation principle for the sample-paths of a general class of multidimensional state-dependent Poisson shot noise processes. The result covers previously known large deviation results for one dimensional state-independent shot noise processes with light tails. We use the weak convergence approach to large deviations, which reduces the proof to establishing the appropriate convergence of certain controlled versions of the original processes together with relevant results on existence and uniqueness.

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Cited in

(16)

• Large deviations for neutral stochastic functional differential equations
• Sample path large deviations for the multiplicative Poisson shot noise process with compensation
• Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance
• Linear stochastic fluid networks: rare-event simulation and Markov modulation
• Sample path large deviations of Poisson shot noise with heavy-tailed semiexponential distributions
• Asymptotic analysis of Poisson shot noise processes, and applications
• Sample path moderate deviations for shot noise processes in the high intensity regime
• Sample path moderate deviations for non-stationary power-law shot noise processes
• The first exit problem of reaction-diffusion equations for small multiplicative Lévy noise
• Functional limit theorems for a new class of non-stationary shot noise processes
• Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times
• Functional limit theorems for shot noise processes with weakly dependent noises
• Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions
• The Kramers problem for SDEs driven by small, accelerated Lévy noise with exponentially light jumps
• Moderate deviation and central limit theorem for stochastic differential delay equations with polynomial growth
• Sample path large deviations principles for Poisson shot noise processes, and applications

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