Large deviations for past-dependent recursions.

MaRDI QIDQ1130112zbMATH OpenFDO

Authors Fima Klebaner, R. Liptser

Publication date 19 August 1998

Published in Problems of Information Transmission (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0603407

Mathematics Subject Classification ID

Large deviations (60F10)

Abstract: The Large Deviation Principle is established for stochastic models defined by past-dependent non linear recursions with small noise. In the Markov case we use the result to obtain an explicit expression for the asymptotics of exit time.

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• Exit times for multivariate autoregressive processes
• Moderate deviations for randomly perturbed dynamical systems
• Likely path to extinction in simple branching models with large initial population
• Large Deviations for a Random Walk Model with State-Dependent Noise
• Large deviations analysis of some recursive algorithms with state dependent noise
• Large deviations for a class of recursive algorithms
• Large and moderate deviation principles for nonparametric recursive kernel distribution estimators defined by stochastic approximation method
• Moderate deviation principles for nonparametric recursive distribution estimators using Bernstein polynomials
• Exit times for ARMA processes

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