Precise asymptotics for large deviations of integral forms

MaRDI QIDQ6237420zbMATH OpenFDO

Authors Xiangfeng Yang

Publication date 23 November 2012

Mathematics Subject Classification ID

Asymptotic expansions of solutions to PDEs (35C20) Large deviations (60F10) Functional limit theorems; invariance principles (60F17)

Abstract: For suitable families of locally infinitely divisible Markov processes ${x{i}_t^{epsilon}}_{0leqtleqT}$ with frequent small jumps depending on a small parameter $epsilon>0,$ precise asymptotics for large deviations of integral forms $mathbb{E}^{epsilon}[exp{epsilon}^{-1}F(x{i}^{epsilon})]$ are proved for smooth functionals $F.$ The main ingredient of the proof in this paper is a recent result regarding the asymptotic expansions of the expectations $$ for smooth $G.$ Several connections between these large deviation asymptotics and partial integro-differential equations are included as well.

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