Large deviations for power-law thinned Lévy processes

DOI10.1016/J.SPA.2015.11.006MaRDI QIDQ265642zbMATHOpenAlexFDO

Authors Remco van der Hofstad, Johan S. H. van Leeuwaarden, Elie Aïdékon, Sandra Kliem

Publication date 4 April 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.1692

zbMATH Keywords

large deviationsexponential tiltingcritical random graphsthinned Lévy processes

Mathematics Subject Classification ID

Random graphs (graph-theoretic aspects) (05C80) Combinatorial probability (60C05) Stochastic network models in operations research (90B15)

Abstract: This paper deals with the large deviations behavior of a stochastic process called thinned Levy process. This process appeared recently as a stochastic-process limit in the context of critical inhomogeneous random graphs. The process has a strong negative drift, while we are interested in the rare event of the process being positive at large times. To characterize this rare event, we identify a tilted measure. This presents some challenges inherent to the power-law nature of the thinned Levy process. General principles prescribe that the tilt should follow from a variational problem, but in the case of the thinned Levy process this involves a Riemann sum that is hard to control. We choose to approximate the Riemann sum by its limiting integral, derive the first-order correction term, and prove that the tilt that follows from the corresponding approximate variational problem is sufficient to establish the large deviations results.

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Cited in

(7)

• Finite-pool queueing with heavy-tailed services
• A Law of Large Numbers for the Power Variation of Fractional Lévy Processes
• Power-law Lévy processes, power-law vector random fields, and some extensions
• Cluster tails for critical power-law inhomogeneous random graphs
• Heavy-tailed configuration models at criticality
• The probability of unusually large components in the near-critical Erdős-Rényi graph
• scientific article; zbMATH DE number 6310763 (Why is no real title available?)

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