Moderate deviations and Strassen's law for additive processes

DOI10.1007/S10959-014-0584-6MaRDI QIDQ300293zbMATH OpenOpenAlexFDO

Authors Franziska Kühn, R. L. Schilling

Publication date 27 June 2016

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

Full work available at URL https://arxiv.org/abs/1406.7180

zbMATH Keywords

moderate deviationsfunctional limit theoremadditive processesStrassen's lawLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Sample path properties (60G17)

Abstract: We establish a moderate deviation principle for processes with independent increments under certain growth conditions for the characteristics of the process. Using this moderate deviation principle, we give a new proof for Strassen's functional law of the iterated logarithm. In particular, we show that any square-integrable L'evy process satisfies Strassen's law.

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Cited in

(3)

• The law of the iterated logarithm for a class of SPDEs
• Laws of large numbers and moderate deviations for stochastic processes with stationary and independent increments
• Moderate deviations and functional limits for random processes with stationary and independent increments

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