Large deviations for processes on half-line

DOI10.1214/ECP.V20-4130zbMATH Open1329.60055arXiv1502.06342WikidataQ57712719 ScholiaQ57712719MaRDI QIDQ894502FDOQ894502

Fima Klebaner, Anatoli Mogulskii, Artem Vasilhevich Logachev

Publication date: 1 December 2015

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

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.

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)

Cited In (3)

• Asymptotic behaviors for random geometric series
• Extended large deviation principle for trajectories of processes with independent and stationary increments on the half-line
• Large deviations for processes on half-line: random walk and compound Poisson

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