Sample path large deviations for Lévy processes and random walks with Weibull increments

DOI10.1214/20-AAP1570zbMATH Open1477.60051arXiv1710.04013MaRDI QIDQ2240472FDOQ2240472

Authors: Mihail Bazhba, Chang-Han Rhee, Bert Zwart, Jose Blanchet 

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

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 $J_1$ topology, and a full LDP in the ${M_1}^{\prime }$ 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 $J_1$ topology, and by an application to a first passage problem.

Full work available at URL: https://arxiv.org/abs/1710.04013

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zbMATH Keywords

heavy tailsrandom walkssample path large deviationsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Sums of independent random variables; random walks (60G50) Sample path properties (60G17)

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Cited In (10)

• Sample path large deviations for Lévy processes and random walks with regularly varying increments
• Yule process sample path asymptotics
• Queue length asymptotics for the multiple-server queue with heavy-tailed Weibull service times
• Contraction principle for trajectories of random walks and Cramér's theorem for kernel-weighted sums
• Large deviations for power-law thinned Lévy processes
• Heavy loads and heavy tails
• Processes with catastrophes: large deviation point of view
• A large deviation principle for the normalized excursion of an \(\alpha\)-stable Lévy process without negative jumps
• Large deviations for stochastic fluid networks with Weibullian tails
• Sample-path large deviations for a class of heavy-tailed Markov-additive processes

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