Large deviations for some Poisson random integrals

DOI10.1007/BFB0103803MaRDI QIDQ4501612zbMATH OpenFDO

Authors Zbigniew J. Jurek, Liming Wu

Publication date 4 September 2000

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=SPS_2000__34__185_0, https://eudml.org/doc/114036

zbMATH Keywords

large deviationLevi classmultiple Poisson integralsPoisson point process

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic integrals (60H05)

Review text

The well-known Schilder's theorem gives the large deviation estimates for the convergence \(\sqrt\varepsilon W\Rightarrow \delta_0\) on \(C([0, \infty),\mathbb{R}^d)\) as \(\varepsilon\to 0\), for the Brownian motion \(W\). The authors investigate analogous problems for some integrals \(\varepsilon N(f):= \varepsilon \int f dN\), where \(N\) is a Poisson point process and \(f\) is a deterministic function. They find that this large deviation estimation depends strongly on the tail behaviour of \(f\). This differs from the Brownian motion case where only the norm of \(f\) in \(L^2\) is involved. In particular, they get the large deviation principle for the Levi class \(L\) distributions (called also self-decomposable measures). The question about large deviations for the multiple Poisson integrals is not discussed here. For the entire collection see [Zbl 0940.00007].

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