Large deviations for processes on half-line

DOI10.1214/ECP.V20-4130MaRDI QIDQ894502zbMATH OpenWikidataFDO

Authors Fima Klebaner, Artem Vasilhevich Logachev, Anatoli Mogulskii

Publication date 1 December 2015

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.06342

zbMATH Keywords

large deviationsrandom walksdiffusion processesCEV ruin model

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We consider a sequence of processes defined on half-line for all non negative t. We give sufficient conditions for Large Deviation Principle (LDP) to hold in the space of continuous functions with a new metric that is more sensitive to behaviour at infinity than the uniform metric. LDP is established for Random Walks, Diffusions, and CEV model of ruin, all defined on the half-line. LDP in this space is "more precise" than that with the usual metric of uniform convergence on compacts.

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