Sample path large deviations for the multiplicative Poisson shot noise process with compensation
From MaRDI portal
Publication:5086636
DOI10.1080/17442508.2020.1744605OpenAlexW3013486086MaRDI QIDQ5086636
Publication date: 6 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2020.1744605
Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
- Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity
- Large deviations for multivalued stochastic differential equations
- Variational representations for continuous time processes
- Sample path large deviations principles for Poisson shot noise processes, and applications
- Asymptotic results for perturbed risk processes with delayed claims
- Large deviations for 2-D stochastic Navier-Stokes equations driven by multiplicative \textit{Lévy} noises
- Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions
- A variational representation for certain functionals of Brownian motion
- Regular variation in the mean and stable limits for Poisson shot noise
- Large deviations for the empirical measure of a diffusion via weak convergence methods
- Large deviations for Brownian particle systems with killing
- Explosive Poisson shot noise processes with applications to risk reserves
- Large deviations for small noise diffusions in a fast Markovian environment
- Risk processes with shot noise Cox claim number process and reserve dependent premium rate
- On the large deviation rate function for the empirical measures of reversible jump Markov processes
- Large deviation principles for 3D stochastic primitive equations
- Simulating the ruin probability of risk processes with delay in claim settlement
- Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
- Large deviations for multidimensional state-dependent shot-noise processes
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Sample Path Large Deviations of Poisson Shot Noise with Heavy-Tailed Semiexponential Distributions
- The central limit theorem for the Poisson shot-noise process
- Limiting properties of Poisson shot noise processes
- Delay in claim settlement and ruin probability approximations
- Lundberg parameters for non standard risk processes
- A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions