Functional large deviation principles for first-passage-time processes
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Publication:1364392
DOI10.1214/aoap/1034625336zbMath0885.60023MaRDI QIDQ1364392
Anatolii A. Puhalskii, Ward Whitt
Publication date: 20 April 1998
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1034625336
stochastic approximation; large deviations; mathematical finance; convergence in probability; first-passage time; superpositions of renewal processes
60G42: Martingales with discrete parameter
60G50: Sums of independent random variables; random walks
60G48: Generalizations of martingales
60F10: Large deviations
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
60K05: Renewal theory
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