Sample path large deviations for Lévy processes and random walks with Weibull increments
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Abstract: We study sample-path large deviations for L'evy processes and random walks with heavy-tailed jump-size distributions that are of Weibull type. Our main results include an extended form of an LDP (large deviations principle) in the topology, and a full LDP in the topology. The rate function can be represented as the solution to a quasi-variational problem. The sharpness and applicability of these results are illustrated by a counterexample proving the nonexistence of a full LDP in the topology, and by an application to a first passage problem.
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Cited in
(10)- Sample-path large deviations for a class of heavy-tailed Markov-additive processes
- Sample path large deviations for Lévy processes and random walks with regularly varying increments
- Yule process sample path asymptotics
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