Sample path large deviations for Lévy processes and random walks with regularly varying increments
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Publication:2189454
Abstract: Let be a L'evy process with regularly varying L'evy measure . We obtain sample-path large deviations for scaled processes and obtain a similar result for random walks. Our results yield detailed asymptotic estimates in scenarios where multiple big jumps in the increment are required to make a rare event happen; we illustrate this through detailed conditional limit theorems. In addition, we investigate connections with the classical large deviations framework. In that setting, we show that a weak large deviation principle (with logarithmic speed) holds, but a full large deviation principle does not hold.
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