Moderate deviations and Strassen's law for additive processes

DOI10.1007/S10959-014-0584-6zbMATH Open1346.60027arXiv1406.7180OpenAlexW2077362166MaRDI QIDQ300293FDOQ300293

R. L. Schilling, Franziska Kühn

Publication date: 27 June 2016

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We establish a moderate deviation principle for processes with independent increments under certain growth conditions for the characteristics of the process. Using this moderate deviation principle, we give a new proof for Strassen's functional law of the iterated logarithm. In particular, we show that any square-integrable L'evy process satisfies Strassen's law.

Full work available at URL: https://arxiv.org/abs/1406.7180

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]moderate deviationsfunctional limit theoremadditive processesStrassen's law

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Sample path properties (60G17)

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Cited In (2)

• Laws of large numbers and moderate deviations for stochastic processes with stationary and independent increments
• Moderate deviations and functional limits for random processes with stationary and independent increments

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