scientific article; zbMATH DE number 16740
[For the entire collection see Zbl 0725.00014.] Problems of large deviations and of high excursions of trajectories of random processes closed to Gaussian ones are considered. The following three main results are reported in the (summary) paper: Let \(\{\xi_ i\}^ \infty_{i=1}\) be a sequence of i.i.d. random variables with \(E \xi_ 1=0\), \(\hbox{var} \xi_ 1=1\), with bounded and continuous density (or \(\xi_ 1\) has a lattice distribution) and \(E\exp(\alpha\xi_ 1)<\infty\) for all \(|\alpha|\leq\alpha_ 0\), \(\alpha_ 0>0\). Then consider \[ \xi_ L(t)=(1/\sqrt L)\sum^{[tL]+L-1}_{i=[tL]}\xi_ i,\quad 0\leq t\leq T. \] \[ P(\max_{0\leq t\leq T}\xi_ L(t)>u)=(Tu/\sqrt{2\pi})\exp\{-u^ 2/2+(u^ 3/\sqrt L)\lambda(u/\sqrt L))(1+o(1)),\tag{I} \] where \(\lambda(\centerdot)\) is the Cramér series for \(\xi_ 1\) and \(u,L\) are assumed to converge to infinity and \(u=o(\sqrt L)\). (II) Let \(T\to\infty\), \(L\to\infty\), \(T/L\to\infty\), \(L^{-1}\log T\to 0\), then \[ P(\ell_ T(\max_{0\leq t\leq T}\xi_ L(t)-\ell_ T)<x)=\exp\{-exp(-x+(\ell_ T^ 3/\sqrt L)\lambda(\ell_ T/\sqrt L))\}+o(1), \] where \(\ell_ T=\sqrt r+s/2\sqrt r\) with \(r=2\log(T/\sqrt{2\pi})\) and \(1=\log(\log T)\). (III) Let \(\pi_ \lambda(\cdot)\) be a Poisson point process on \(R\) with intensity \(\lambda\) and \(f\) a function such that the stochastic integral \(\xi_ \lambda (t)=\int f(t-s)\pi_ \lambda(ds)\) exists for all \(t\). Put \[ P_{\lambda,f}(x)=P(\tilde\ell_ T(\lambda^{-1/2}(\xi_ \lambda(t)-\lambda_ m)-\tilde\ell_ T)<x), \] where \(m=\int f(t)dt\). Then for \(f\) with \(\int f^ 2dt=1\): \[ P_{\lambda,f}(x)\to\exp\{- \exp\{-x\}\} \tag{i} \] for \(f\) absolutely continuous and \(\tilde\ell_ T=[2\log\{(C/2\pi)^{1/2}T\}]^{1/2}\) with \(c=\int[f'(t)]^ 2dt\), (ii) if support of \(f\) is bounded and equal to \([-\tau,\tau]\) with \(| f(\tau)|+| f(-\tau)|=d>0\), then \[ P_{\lambda,f}(x+\log d)\to\exp\{-\exp\{-x\}\}, \] (iii) if moreover \(f\) has absolutely continuous derivative, then there exists \(\rho>0\) such that \[ P_{\lambda,f}(x)=\exp\{-\exp\{-x-x^ 2/2\ell^ 2_ T\}\}+O(T^{- \rho}). \]
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