Small deviations for the Poisson process
Small deviations for the Poisson process (scientific article; zbMATH DE number 1124495)
This paper establishes a small deviations result for the standard Poisson process, \(N_t\), a special case of earlier work [for example, \textit{J. Kuelbs}, \textit{W. V. Li} and \textit{M. Talagrand}, Ann. Probab. 22, No. 4, 1879-1903 (1994; Zbl 0849.60022)]. Set \(\overline N_t\) to be the function taking \(s\in [0,1]\) to \((N_{st} -st)/ \sqrt t\). The main theorem states that for constants \(a_t\to \infty\) such that \(a^2_t/t\to 0\), \(r>0\) and \(f\) an element of the limit set in Strassen's functional law of the iterated logarithm, \[ \lim_{t\to\infty} a_t^{-2} \log P\bigl( \| \overline N_t-a_t f\|_\infty \leq a_t^{-1} r\bigr)= -\pi^2/8r^2 -\| f\|^2/2. \] The proof uses the familiar subsequence approach and draws on analogs to established inequalities and lemmas for Wiener and Poisson processes.
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